Macroscopic polarity and its dynamic response to external electric fields and temperature in the nominally ergodic relaxor phase of pristine lead magnesium niobate crystals and ceramics, Pb(Mg1/3Nb2/3)O3 (PMN), were investigated. Dynamic pyroelectric measurements provide evidence for persistent macroscopic polarity of the samples. Annealing experiments below and above Burns temperature of polarized samples relate this polarity to the presence of polar nano-entities and their dynamics. The dc electric field strength required for macroscopic polarization reversal is similar to the amplitude of the ac field where dynamic nonlinear dielectric permittivity reaches its maximum. Consequently, the aforementioned maximum is related to the reorientation of polar nano-entities. The results question the existence of an ergodic state in PMN below Burns temperature.