Look, the Roma(ni? - I keep writing this because I am still unsure about which variant is more correct in English) are not a homogeneous group. Even within Czechia we have several large Roma(ni) cultural sub-groups: the original Bohemian/Moravian Roma(ni) who were mostly wiped out by the Nazis in WW2, the Slovak Roma(ni), the Balkan groups, etc.
The issues of identity and names are notoriously complicated, as you surely know. I can only speak about what is standard/accepted in Czechia, and here "gypsy" (CZ: cikán) is considered moderately pejorative when used by a non-Roma(ni) person for a Roma(ni) person. Among themselves, they often use this term, though.
Just to note that "cikan" is not the same term as "gypsy", cause the former comes from athigan(os). Gypsy, as noted, comes from "Egyptian", and alludes to the supposed first settlement of those peoples in the province of Egypt, during the Roman empire times.
Both of those terms refer to that group of wandering people, who are prone to form communities outside of the towns, in makeshift houses. They surely lead a very hard life, but i can't say i know much about why they remain in this state (ie if they view this life as their own lifestyle and so on, or are just unable to move out of it).
Important edit:
I now read that "athiganos" comes from a translation of a supposed indian term for "untouchable" (as in the lowest of the castes). Athiganos means the same (not to be touched) in Greek, and it seems to have also been the name of a (unrelated to the gypsies) religious movement in the arab expansion age. Also read that in most languages the term "gypsy" is directly derived from the mentioned egyptian root, but in some (eg german, and slavic languages) it seems to be a missunderstood version of athiganos, with which it is not etymologically related.