Short version: Jane goes to see the Gypsy because her presence was requested, not out of any actual interest in hearing her fortune told. She's playing along, but considering the length of the conversation, it does seem to be a bit more than simple politeness.
Oh, let's stop being coy. The Gypsy soon reveals himself as Mr. Rochester, who for reasons surpassing understanding has decided that this is the best way to play host to a house party. He asks Jane if she's going to forgive him for messing with her, and our girl is nothing if not circumspect:
"I cannot tell till I have thought it all over. If, on reflection, I find I have fallen into no great absurdity, I shall try to forgive you; but it was not right."And then Jane mentions, almost in passing, that the party grew by one during Rochester's supposed absence:
"His name is Mason, sir; and he comes from the West Indies; from Spanish Town, in Jamaica, I think."Which leads to another moment in which Jane gets to be the strong, sensible one in this relationship.
Mr. Rochester was standing near me; he had taken my hand, as if to lead me to a chair. As I spoke he gave my wrist a convulsive grip; the smile on his lips froze: apparently a spasm caught his breath.
"Mason!—the West Indies!" he said, in the tone one might fancy a speaking automaton to enounce its single words; "Mason!—the West Indies!" he reiterated; and he went over the syllables three times, growing, in the intervals of speaking, whiter than ashes: he hardly seemed to know what he was doing.
"Oh, lean on me, sir."
"Jane, you offered me your shoulder once before; let me have it now."
"Yes, sir, yes; and my arm."
And with that, we reach the halfway point of the book!