If they accept a 0/unconfirmed tx for bets then the loosing bet would get double spent and the winning bet would get confirmed. This means gamblers would not actually be risking anything (if they know what they are doing) when they bet prior to the deposit being confirmed.
They might want to require more then one confirmation for large withdrawals however they should not accept no confirmations to bet.
Well 0 confs. deposits do work in some sites like dicecoin.io and crypto-games.net, they could do it they way those sites are doing.
Those sites are taking a risk that gamblers double spend a deposit after a loosing bet. I have never heard of dicecoin.io and crypto-games.net has had a litany of other problems in the past.
The only site that I know of that accepts 0/unconfirmed deposits that takes successful countermeasures against double spend attacks is 999dice, however I understand they are also separately a scam site.