While the episode never says it explicitly, the strong implication is that this is somehow significant of all Romani. Clearly, the murder-cult is a vast exaggeration. But the parts that casually characterize the Romani as insular, paranoid, lawless nomads are not so clearly exaggerative. For example, when they mention the sound of bells, Rossi casually mentions that this is common training among Romani pickpockets (It's actually not - that is from "The Hunchback of Notre Dame", a French novel).
This episode coincidentally premiered during a period of anti-Romani violence in Europe. The depiction of Romani as thieves and criminals is a common one, a stereotype that originates among anti-Romani hate groups and has slowly contaminated the public view.
An akin example would be if some overseas crime show depicted a secret society of rich white Americans who, when their progeny turned 16, were issued their first gun, tattoo, and car, and sent abroad during the ritual of "Spring Break" to infiltrate foreign cultures, seduce young local girls at bars, then ritually gang-rape them while reciting the Pledge of Allegiance and worshiping Satan.
It's incredibly wrong. It's scraps of truth and stereotypes mixed into some horrible sick brew of fantasy. And anyone who knows the reality of American culture would know it's a ridiculous exaggeration. But people who don't ... they'll read sensational news stories about some Spring Break rapist and then form their own conclusions.
You see why this might be problematic.