I think Bitcoin gambling is illegal because even Bitcoin isn't accepted in many country, so using them with a purpose is totally illegal
Ya their are many countries where gambling is illegal so definitely if you gamble through any source of medium its illegal. Also even if gambling is legal but bitcoin is not then too using btc for the gambling become illegal. So it will definitely depend upon the country and its polices towards it. May be better to avoid if some is not sure about both the aspects of it.
In most of the countries where gambling is legal in these countries bitcoin is also legal, may be anyone country is here where gambling is allowed and bitcoin is not allowed. But it is not easy to say that bitcoin gambling is illegal becasue all gambling sites have licenses then what is left the law for announce them that gambling sites are legal or illegal. Well i play gambling without this thinking and it is easy for me.