At first not, and I didn't even really investigate whether it bothered me or not but then I got involved with somebody who did. (most non jws). So I examined and researched things. I also asked them if they are pagan of origin, and they know it, why it would be okay for them (being christian), their reply was that they are NOT worshipping pagan gods. WHen they celebrate christmas, it's for appreciation of God having sent Jesus, etc.
I examined scriptures, and many in the new testament say things such as don't judge people on what day they choose to observe or place as higher importance, whether a new moon, etc, but if you observe any day do it for God's glory. So when people do christmas, they aren't worshipping sun and moon gods, it's what it is to them. And just because something was done 2 or 3,000 years ago, you will find 'pagan' origin in almost everything. The days of the week, if you say today is Saturday, you are calling it Saturn's Day, so are you worshipping Saturn by calling it his day? etc? Also with JW's the wedding and anniversary celebrations have so called pagan roots. So for Christians, the adopting was a good thing, it was taking something bad and turning it good.
Holidays also ad tradition and things for families to get together and do things together. So all of those things were what was going through my mind the first few years after leaving.