For one, because Gypsies aren't really a defined group in real life. Instead a general term for several different groups, most of which are already include. For example the Scottish and Irish 'gypsies' And technically the term 'Gypsy' was originally used to refer to Egyptians. As for the Romani people and their religion, I would also like to see something like that implemented.
You have to be American or British. Only there there the Scottish/Irish "travellers", who are indeed a completely different group is mixed up with them. Especially since there are no equivalent non-Romani population in continental Europe. Also, I believe (correct me if I'm wrong) that those Irish/Scottish travellers appeared on the scene much later and I'm not sure they would even exist during the time period covered by CK 2.
For the record, I deliberatly did not use the term "Romani" because even thoug it's the recognized PC term in the USA, it's use isn't agreed to by everybody (I mean within this community) and because it's confusing. Mostly because it normally refered only to a sub-group (basically those living/coming from Central Europe) while there are several other sub-groups (Gitanos in Spain/Southern france, Sintis and Manouches in Northern France/Germany, etc....).
I think the main point behind adding some of these religions is because it adds more life to the secondary characters, and might also add for an extra challenge.
Well, no matter how we wall them, I've nothing against adding new stuff. I'm just saying that minor population groups like that who had no history of leading major changes in Europe don't fit well with the game style, which is about conquest and dynastic inheritances, not about societal micro managing. And that turning them into warmonguering/conquering hordes or something like that would make about as much sense as the Aztec DLC.
Also, The Return to Jerusalem as well as the liberation of Judea have long been goals of a major section of Judaism. I understand what you mean by them no being Proselytizing, but that doesn't mean they didn't exist and that they weren't important, or they couldn't have been more important.
When did they even *try* to conquer Jerusalem? How would have they gathered the ressources/power to do so, being dispersed all around the world. Yes, I'm firmly opposed to make Jews into some kind of ahistorical military conquerors, be it only of Jerusalem. And for them having been important, they were in a way that is covered only abstractly in the game. You could have a Jewish courtier holding a major position (say, chancellor) in a muslim kingdom. A Jewish philosopher/doctor could have some technology points. But what would it change to the game, apart from having the word "Jew" occasionnally popping here and there in the game?