the reason why gambling is so addictive is because we believe we can out smart the system(house) or we get to carried away from our first win or loss and want to win back what is ours and it becomes a cycle.
Not all don't have a knowledge about the house edge, some know that already, it just that, they are still trying expecting that the wheel of fortune are on their side, trying their luck even if they do it many times, as long they win they will keep on doing it. I do believe that it's not the fun that keeps gambling so addicting, it's the "money", or anything that you could win in gambling instantly.