The word Gypsy is one I would never use in every day speech when referring to a person of the Roma ethnic group because I was taught as a child that it has a pejorative connotation. However, because the term has been present in our culture for centuries through literature, movies, songs, Broadway musicals, old TV shows, et cetera, it is probably impossible to eradicate it from common speech when discussing these things.
I assume that some individuals, who identify as Roma, continue to use the word Gypsy perhaps out of habit or because it is their right even though it's a slur. Just recently I was listening to an interview of an up and coming young theatre actor. When asked about his background, he described his ancestry as part Russian and part Gypsy. He was born in one of the Central Asian countries that used to be part of the Soviet Union.
I wonder exactly how he feels about the usage of the term Gypsy and if he thinks that it is definitely a slur and should not be used. He seemed very nonchalant when saying it and was aware that his interview was being recorded. However, in fairness I'm not going to mention his name.