And I'll be upfront and say that I think you're being defensive and could have easily just taken the comment on the chin, learnt from it for the future and moved on. That's what privilege checks are about. You don't know everything, and it's not only ok to admit that, it's preferable.

Instead you're doubling down and pulling the "I have an x friend" trope to try and get away with using a slur you admit doesn't belong to you (and you're right, it doesn't belong to me either, but only one of us is insisting on using a racist term that isn't ours).

As a group, they have taken a stand, all you have to do is look it up and listen, and realise that even if your friend says it's ok to use with them, that doesn't make it ok for you to freely use in general:

https://www.errc.org/what-we-do/advocacy-research/terminology

https://en.wikipedia.org/wiki/Romani_people

https://now.org/blog/the-g-word-isnt-for-you-how-gypsy-erases-romani-women/

https://hulluniunion.com/news/article/intersectionality-week-roma-traveller-awareness