I use VPN too when I am playing gambling because I don't want to be a worry if somehow, something wrong will happen. I will prevent everything bad that might happen besides that when I use VPN, and I can play anywhere even if I am in the cafe with my friends. But still gambling is one of the prohibited things in my country, but I don't think that gambling with cryptocurrency was prohibited too because
I am not sure that my government knows about this 
Well, that doesn't exactly make it legal either

Not sure if that would hold up in a court of law for example.
I mean, I doubt it would be legal to gamble with any other asset, like wagering with your golden jewelry for example, it would probably still be classified as illegal gambling.