There is definitely an ethical dilemma with accepting money no questions asked and only giving it back after seeing personal documents. Imagine an escrow agent doing something like that.
I agree with you, but I don't doubt the reasoning behind casinos' request of documents for payout. I'm an American so I'll put things into IRS terms: If i can't prove that I paid $xxx.xx out, then I'm liable for taxes on $xxx.xx as income. Proof is in the form of documents that require personal information about the payee.
What I would like to see is a very hard to ignore notification on the casino's membership initiation page informing their clients that KYC is not needed for using the site, but payouts greater than x amount require KYC. I know it's probably buried in the fine print of the TOS, but making clear and unambiguous would greatly reduce these types of scam claims.