Especially if it's not a sound foreign to them; like few westerners would pronounce Chinese names exactly as they are pronounced in Chinese, but the s versus z sound should be easy to manage and shouldn't need repeated reminders.
It's about as rude as repeatedly calling someone by a nn when they've asked specifically to be called by another nn or by the full name. It may not be intentional rudeness, but it is rude.
Before you criticize a man, walk a mile in his shoes. That way, when you criticize him, you're a mile away and you have his shoes!
Steve Martin