The celebration and/or recognition of ethnicity in the United States is a tricky matter. When it comes to people of European descent, a great deal of it comes down to choices of the participants and the community. This is particularly true of Protestant British immigrants: these people could blend in and become "Americans" - looking and acting a lot like white Americans who had been settled on the continent for generations, or they could decide to emphasize their origin.
I find an article, now nearly fifty years old, to be particularly useful: Stanford M. Lyman and William A. Douglass, "Ethnicity: Strategies of Collective ad Individual Impression Management," Social Research 40:2 (Summer 1973). Lyman and Douglass refer to two types of ethnic characteristics – the innate and the voluntary. In other words, if an emigrant arrives off the boat looking like white America, that person as no "innate" features that cause for identification other than an accent or clothing, perhaps. These can be shed more or less rapidly, and so that person is left with the matter of ethnic identification as a voluntary thing. The fact that an emigrant arrives as a likely native speaker of English (that wasn't always the case with the Welsh and Scots), blending in was relatively easy.
Emigrants without English as a native language arrived with an innate feature that made them stand out, and so learning English was a high priority: I have known Scandinavian immigrants whose eldest children knew the language of their homeland, but the youngest ones never heard anything but English in their households: the urge to blend in can be fierce for immigrants as they attempt to shed "innate" features such as language.
For the Irish, religion represented an "innate" feature that locked in their ethnicity. Because of prejudice against Irish immigrants, who arrived in a demographic tsunami with the Potato Famine, beginning in 1846, these people could not easily blend in; their best chance was to celebrate their ethnicity and to operate as a collective, demonstrating their strength in numbers.
In the book, The Gilded Age, Mark Twain's Patrique Oreille (pronounced O-reLAY) was a Catholic who spoke with a French accent, choosing that ethnicity as a way to ascend the American ethnic ladder, even though he was born in Ireland and named Patrick O'Riley. Irish immigrants did not normally attempt this transformation and were generally faced with embracing their ethnicity or shedding their religion, which was out of the question for most. The saga of the Kennedy family is a multi-generational expression of what it meant to be Irish in a Protestant-dominated Boston, and how working together and never forgetting one's Irish roots could prove to be the best means to achieve in an oppressive environment.
So what of the Protestant British emigrants? Who decided to be "ethnic" and who did not? In an article I published in 1994, I compared Cornish and Irish immigrants in a Western Mining District. I attempted to demonstrate that the Irish immigrants used their large numbers (they represented about a third of the mining district) to exert political control of local government. The Cornish were a smaller minority, but they were prized by mine owners because of their legendary expertise underground. The Cornish, as protestant, native-speakers of English, could have blended in. Instead, they tended to make a decision to emphasize their ethnicity - a "voluntary" decision since they lacked any remarkable "innate" ethnic cues, and by being ethnic, they could capture the best jobs. But the Cornish expressed their ethnicity in a clever way, aligning themselves with the native, white Americans: while the Irish formed militias named after heroes of the Irish struggle against Britain (with the hope of returning to Ireland to fight for independence), the Cornish organized themselves with a militia called the "Washington Guard." They were sending a clear message: we are Cornish, we are distinct (meaning you should employ us!), and yet we are good Americans who do not intend to leave the country to fight for foreign causes. It was a clever way to drive a wedge to separate the Irish immigrants from the "Americans" - all the while having the Cornish maintaining their ethnicity AND taking the side of "real Americans." That choice on the part of the Cornish tended to evaporate as soon as preferential hiring in the mines was no longer a factor. Cornish immigrants who were no longer involved in mining tended to "blend in" - although there are still Cornish-American organizations, they are relatively invisible for the rest of the nation, and attendance is limited.
The Scots present a slightly different matter. Their names (and their Presbyterian religion) can be obvious "cues" that make their ethnicity innate rather than voluntary. Perhaps most important was the fact that the Scots gained in prestige as an ethnicity in Britain throughout the nineteenth century. Following the disastrous efforts to place a descendant of James I of England/James VI of Scotland on the British throne with rebellions in 1715 and 1745, the Scots and Highland culture underwent a rehabilitation and transformation, where to be Scottish was regarded as a positive thing in Britain. This found an echo in North America. The fact that the Scots arrived in far greater numbers than the Cornish, for example, meant that the Scots often had something of a critical mass that allowed them to gather as a group and celebrate their ethnicity - an ethnicity that was counted as a positive in part because of the transformation that occurred in Britain. While the Scots had few - and relatively insignificant - innate features, but they had motivation to voluntarily boast their ethnicity because it gained them prestige in the community.
The Welsh represent a different issue. The traditional Welsh, Methodist coal miner of Britain was not despised by his British cousins - as were the Irish Catholics. That said, the people living in Wales were not honored in English popular perception in the way that the Scots were: Victoria had her Balmoral estate in Scotland, but there was no counterpart in Wales. The royal court paraded around in kilts, but there was no Welsh equivalent. In North America, Welsh immigrants were faced with much the same ethnic choice as faced the Cornish: as protestants and (generally) native speakers of English, the Welsh could blend in and become "good" Americans. Although they were renowned as expert coal miners, there was little incentive to be noticed in the low-paying coal industry of the Eastern US; by contrast, the Cornish tended to emigrate to the West and worked in high-paying precious metal mines where their expertise/ethnicity could be emphasized to gain even better paying positions. Because of this, there was less economic incentive to emphasize one's Welsh origins, and there was little by way of innate factors that would force their recognition. As a result, the Welsh had become much like the modern Cornish: while there are Welsh-American organizations, participation is limited and the groups - like the participants - tend to be ethnically invisible for the rest of white America.
edit: I see this is very (too!) long: to summarize: economic and social factors encouraged the Scots and Irish to celebrate their ethnicity (although those reasons manifested very differently for the two groups); for the Welsh, there was less economic and social reason to put their origins forward, so they tended to blend into white Protestant America.
2nd edit: for the remarkable transformation of Scottish culture, see the essay by Hugh Trevor-Roper, "The Invention of Tradition: The Highland Tradition of Scotland," in The Invention of Tradition, edited by Eric Hobsbawm and Terence Ranger (1983).