I don't think it will illegal.
It depends on which country you are in. It is a case to case basis. 1 talked to one of the members here in bitcointalk.org and he says that Bitcoin is fine in his Southeast Asian Country but if they found out that you're Bitcoin came from winnings in gambling they will deactivate your soft wallet. They say it is part money laundering.
yeaj i have read some topics about this i just couldn't find where is it..but i am pretty sure that it was asia,the complain is about deactivating hes wallet just because he won from some gambling site.this means it's illegal..but some countries recognize bitcoin as betting materials you can play directly using your bitcoin
Well they should've been aware of the wallet's policies concerning gambling profits since btc gambling isn't illegal in their country. They can transafer to exchanges first before sending to their soft wallets. I don't think there are many countries banning btc gambling since it functions pretty much the same as regular fiat gambling