A more prominent example would be the word "Neger" where the media tells us it's a terrible word, insulting, racial slur etc etc, yet however, it is used by normal people in a conversation without any issues. It's funny how irrational media (and some crazies) get, ignoring all context, how something and with what intention something is said. There is always a stark contrast between that and actual real life. I, for one, like to eat my "Negerkuss".
For non-Germans reading along, "Neger" used to be a common word, but is not anymore. Language is changing, society is changing, but as always, some will be left behind. If your grandpa says "neger" you gently correct him, if your peer says "neger", you are in bad company.
"Zigeuner" is less extreme, because awareness for the term is more recent. I was told in high school 15 years ago to avoid it, so everyone should have gotten the message by now. It shows a lack of education, mostly. Germans killed 200k+ Romani in the last century, so it not a wild claim that when our grandparents cautioned us about Zigeuner, that might have had something to do with racism.
(20 years ago I had friends who called Schokoküsse "Negerküsse", and my parents told me not to do that. I simply do not understand why people insist on calling them "Negerküsse", when they know it's hurtful to some. It's a shitty sweet targeted at children).
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.
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.
In my experience, they tend to stop, when you gently remind them that a very similar term that means the exact same thing, but refers to jews, has fallen out of favour in recent decades.
In the press, literature and academia you will generally not find the term Zigeuner in referring to the people (but again Roma or Roma & Sinti) if it was written in the last 20+ years.
I'm not saying this to excuse the negative behavior of the Traveller or Roma communities which I've been on the receiving end of several times.
However, we need to look at this from both ends and accept that us (the ethnic majority) automatically treating members of a particular ethnic minority as scum doesn't help to change their behavior.