As someone who has directly seen the effects of gypsy nationalism (or lack thereof) I would say that their experience is generally unfair. The gypsies claim no home country because no country really wants them. Countries don't want them because they typically don't pay taxes, even though they still maintain an income. Much of this income is due to not understanding much of the tax laws, so instead of trying to figure it all out, the gypsies just don't pay, and move enough so that they can't be monitored effectively.
Gypsies are so much different from other races and comfort levels in Europe. Europe has a lot of strong racism existing in it and will not change any time soon. Gypsies have faced persecution, along with blacks, Jews and a lot more. The culture overall is unfair for Gypsies hoping to live in Europe.
The more I think about the situation involving the Gypsies or the Roma, the more I wonder if they actually want to integrate. I have my doubts they are treated fairly because they prescribe to a completely different lifestyle than those of the masses. I'm not certain that is an inherently bad thing.
In general I think gypsies are looked down upon in Europe because they often make camps illegally and do other things that violate the laws of the nation that they are in, I think if Gypsies as a whole wanted better treatment they should organize politically and become a strong force.
I do not believe that Gypsies, as a race, face unfair treatment in Europe. While I do think that a lot of them face some issues and problems in Europe, I think a lot of it is due to the fact that a lot of them cause problems with local governments.