What's wrong with using proxies ? I wouldn't like to expose my location details and I'm sure free to access the website however I want.
Nothing at all.
Honestly, when your tax office ask you from where did that money come from, explain to them why it came from gambling site, especially if you country banned online gambling.
KYC should be used before a deposit is made and not after an withdrawal is requested.
Can you find one single old(fiat) gambling site which will enforce KYC on deposit?
Please, find it and post it here.