I edited my post with a link to some history, you might want to check it out. As someone with very limited 日本語 skills, I find this stuff very fascinating. (And yes, un-learning kyo vs kee-ooh was tough...)
Yeah, I think I still say it wrong sometimes. To me, it's a word I learned in English, and so I think of it the English way. In that way, loan-words are troublesome in both English and Japanese for words from both languages.
Don't even get me started about learning French words in either of them and then learning their pronunciation in the other, and then the actual French. As an example, the Atelier game series.
I don't know if it's entirely correct to call it wrong. The nearer a word comes to its equivalent in its source language, the higher the expectation that it's pronounced the same as the source language. This expectation is arguably correct when the word is not commonly used in the host language. Some words are very different. Germany/Deutschland. Florence/Firenze. Some are closer, even having the same spelling: Mexico/Mexico. I don't think it's not wrong per se to pronounce it the way its typically pronounced in the language you're speaking.
