Although at the NGO level activists claim that "Roma" should be used instead of "gypsy", it is very common when talking to Balkan Roma to be corrected by them: “Don’t call us Roma, we’re <locally used exonym equivalent to ‘gypsies’>". Obviously their own endonym is Rom, plural Roma, but they sometimes bristle at outsiders using it.

I have the impression those being better off, with (somewhat) higher social status, education being better connected to the majority population find "Gypsy" to be derogatory.

But once I met a poor family referring to themselves this way, so a bit perplexed and curious I rather asked them directly if they consider themselves being Roma or Gypsy... only to get an ambiguous answer.

Edit: I met that family in the eastern Slovakia.

Not that I have encountered. Perhaps all of the Gypsy/Roma I have spoken with are too polite to let me know otherwise.

Here in Czechia many use the 'vulgar' variant (cikán) themselves. I wouldn't use it in my writing though.

It depends. Sometimes, older people will call themselves "Gypsy" and may even correct you if you call them "Roma". But younger people have been taught that "Gypsy" is an offense, so they will get offended if you use the word.

It’s complicated. Ultimately it’s rude to refer to anyone by their skin colour, ethnicity or racial “group”. There are almost no situations where it’s appropriate.