The easiest way to understand where the difference comes from is that they didn't all travel to Europe in one big wave, it was in multiple waves hundreds of yea

The easiest way to understand where the difference comes from is that they didn't all travel to Europe in one big wave, it was in multiple waves hundreds of years apart, and they settled into and were influenced by very different European cultures (as well as cultures they passed through on their way to Europe). We tend to lump them all together into the term Romani, but there's cultural distinctions within, different dialects, etc. Probably the biggest split is a so-called North-South divide, with Romani people you'll find in the wider Balkan area being fairly distinct from those in the west-ish Europe, which themselves are distinct (but slighly less distinct) than those you'll find in the north-east-ish Europe (Belarus, Baltic states, Russia), with many smaller groups scattered across. They're pretty much all billingual and very used to borrowing words from the local languages, so it'd be rather difficult for two Romani people from opposite sides of Europe to understand each other. And we're trying to discuss them in English, which requires another translation on top of the Romani → local European language translation, which tends to get quite complicated rather quickly.