Why do you think Gypsies are not welcomed in many European countries?
Do you think that majority of them could be integrated in European societies?
How? What is the recipe?
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Doesn't matter. They are not integrated and they claim to be oppress and probably they are.
We have a Gypsy festival - https://www.khamoro.cz/en/home-2.html - it was funded by Serbian immigrants (they are not Gypsies) - and they claimed they had to found it because they were horrified as Czechs kept distanc from Roma people. They claimed Serbs were much warmer and closer to Gypsies than we were. (Their effort is not successful btw.) So it is easy to believe that their previous homeland is a more friendly environment for them.