The Border Agency ordered squatters to leave their makeshift homes in Hendon last month.
Dozens set up camp on a disused football ground, claiming they had nowhere else to go.
They were offered flights back home to Romania.
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Police are investigating whether a Land Rover Defender found burnt out in West Horsley was involved in Tuesday night's ram raid.
The work, called Gift Horse, replaces the giant blue cockerel that previously sat on the plinth.
50 of the country's worst pollution blackspots are in the capital. Many in places you may visit every day.