Yes, Roma should be integrated into European society, because immigration is the best way to peace. Roma should find a ways to feel like they are a part of Europe. The Roma need a home, and they need a place of permanence where they are welcome. Finding their place is the best way for lasting peace with the fewest problems.
It is important for the Roma people to become more of an integrated part of European society. In this way, they can be productive members of society. They should learn local languages so that they can attend schools and eventually get jobs in the countries which the live in. This will help the host countries, too.
The Roma are a complicated situation in Europe, but in many ways can be understood by the rest of the world in analogous peoples. Roma live a semi-nomadic life in a number of countries, with problems often stemming from their lack of recognition of local laws and the crime they bring. They should be integrated - if they want it.
Romas should be integrated into European society and accepted by each country. Unfortunately, this group has been persecuted throughout the past few centuries. By integrating them into society, they should become more accepted and have to deal with far less persecution. They might not be fully accepted for quite some time though.
If people from the Roma culture wish to participate and integrate in European society, then they should be allowed to. However, if they wish to not integrate and retain much of their cultural identity, then they should be able to do that as well. The main point is that no one can tell you what cultural identity you need to associate with.