I really don't know how this licensing thing works. From what I understood from different topics on this board, o run a reliable casino it is advisable to get an online gambling license. You can choose different license jurisdiction including Curacao, Malta, UK, etc depending on where you host your casino. License gives you a better reputation and customer loyalty.
You can get license only in such places where gambling is legal, but still I think there are so many countries where gambling is not legal and you can run a gambling site legally there. But If they will reach to you they will fine you for that and in some cases can send you to jail.
In my country gambling is not legal, but still there are so many people who are running physical casino, although it is difficult because they have to face the law and forces agencies, it is rather easy to run a online casino where the government cannot stop you so easily.