There's absolutely nothing wrong with having this thought, or wanting to hack a gambling website. I've had those thoughts myself, and so have many others on here.
Actually acting out on this however is very bad.
I still consider thinking or having a thought of hacking a gambling site as immoral though I agree it won't cause any harm but acting out or actually doing it is really bad. It can cause great harm not only on the Site but to all the users of that gambling site. It is also punishable by law in some countries that have cyber law existing.