Historically, no-one ever decided to change Roma into Rome. Both the English and the Italian names derive from a common ancestor, Roma; just as the modern names Florence and Firenze do; or Paris and Paris: in modern French the final S has become silent, so their pronunciation is now more divergent from the common ancestor than ours. Typically, the names in different languages are the normal historical reflexes of the same original name. No one is any more correct than any other.

Don't confuse pronunciation with spelling. You might write Szczecin or Madrid but would probably pronounce it very differently from the local way. The newsreader "not anglicizing" is probably introducing just as great a distortion as if the odd letter had been changed.