Keeping your identity private is probably possible only with blockchain gambling. I doubt if centralized gambling have a way of preventing governments from attacking them in any way
What do you mean by attacking them? Some gambling sites can't protect your information anymore, or what we actually call anonymity since there are gambling sites or casinos that need KYC. I know that it is important information we are giving and I know they are taking good care of it but there is always a chance that a hacker is lurking around looking at these pieces of information we are giving. I guess it is just really efficient for us not going outside to gambling, we can just sit in front of our computer.