It's important to note that:
* It's not necessarily a derogatory term, though it can be used in a negative way depending on the context. It's simply a way to distinguish between Romani people and others.
* It's used by many different Romani groups, but the specific pronunciation and use of the word can vary slightly depending on the region and dialect.
Think of it similar to words like "Gentile" or "goy" in other cultures, which simply mean "non-Jewish". "Gadje" is a general term for anyone who is not Romani.