There's a (possibly apocryphal) historical reference here: centuries ago, rich merchants' wives were afraid to travel through the countryside while wearing their piles of jewelry, because gypsies would come along and snatch stones right from their settings. A smart lady asked her jeweler to set her diamond deep down in the ring, with no prongs, so it was flush with the metal and therefore thief-proof. Voila! The "gypsy setting" was invented.