I just wonder what would a gambling site do with those documents they require related to KYC.
They can keep it and store it as their evidence if something goes wrong. Just like other websites or establishments that are requiring some documents for their services but when they are done, nothing happens as its only stored to their database / vaults.
It would just make the process of payment (of winnings) longer.
As others explained, their government maybe requiring it or they are pushed to implement it and they just want to obey and protect their business.
For sure anyone would think twice of submitting their personal infos to those gambling platforms.
But if its your money to cash out, you have to follow.
At the end we, we still need to follow or else we lose it, IMHO there's nothing wrong about KYC, it will safeguard both us individuals and the cadino in whatsoever happens in the future transactions, think of it only as a deal between you and the company it will still be private. Example those who wins in lottery, those government allowed lottery, if they win they need to make appearance for their records only. Nobody will know unless you're the one who will spread it.