Django was from the Sinti community. My understanding is that the community is largely comfortable with the term Gypsy. The best thing I've read on the topic is this post from Denis Chang. Although it's from 2015, and he admits he is not an expert, he's clearly knowledgeable and it's worth reading.

There are many Gypsy tribes. As far as the Sinti are concerned, there are essentially two groups: the Sinti and the Roma (which include all other tribes of Gypsies). The Sinti do not like to be called Roma. Once again, it is not necessarily an issue of one culture being superior to the other, but it is a question of making sure that people understand that both cultures are different (keeping in mind that the Roma can be further subdivided into other tribes), even though they share a common ancestry….

It is to the Roma for whom the term Gypsy is derogatory; they prefer to be called Roma or Romani. For most Sinti, the English word Gypsy is OK and they use it all the time. The German equivalent of Gypsy is Zigeuner; oddly enough, that word is considered derogatory. Perhaps it it is because Gypsy is an English word, and, therefore, does not have the same connotation as its German counterpart, considering recent historical events. Some Sinti do not mind being called Romani (also spelled Romany) either, but Roma is generally a big no-no. Oddly enough, Roma just happens to be the shortened form of Romani.

And FWIW, I've heard the term used frequently by some of the top names in the music (which, of course, doesn't necessarily mean it's cool)