I'm sure the Romani would prefer to fix discrimination and generational poverty but you can do that while also asking people to not use their name as a curse word (and also it's not really being fixed).
In Western Europe there have been movements to avoid using the local equivalent of the term "gypsy", and these have seen some success. However, in the Balkan countries these movements have had little impact, even among the Roma themselves.
There is a small Roma intelligentsia, university-educated and aware of those international trends, who welcomes the usage of "Roma (and Sinti)" instead of the traditional word. Among most Roma, however, it is often the case that if you use the term "Roma" while speaking with them, they will correct you and say "Don’t call me that, I’m a <local word equivalent to 'gypsy'>".
Note also that in the Balkans, the Roma generally prefer to maintain their own language rather secret, for in-group use only. I wouldn't be surprise if this extended even to their ethnonym, and when outsiders say "Roma" this sounds like those outsiders are appropriating their word.
I was directly asked by an American Indian: "Don't call me Native American, First People or anything like that. I'm an Indian. Native American is a term invented by white people"
So, I called people Indians until a Native American said to me: "I prefer Native American. Indian is derogatory." When I asked her about what my previous friends said, she said "The people who want to be called Indian are ignorant people from the reservation who don't know any better"
I think it's just best policy to ask whatever term someone prefers to use, and use that.
They can say what they want but if their language is a close relative to Punjabi they are fools if they don't realize there are about 100 million people out there who understand them
