Well you can't blame gambling sites nowadays to add KYC since gambling sites now accepts different crytos and allows you to exchange example BTC to ETH. If its a new site and ask for KYC, I wouldn't try to send anything to them, but if its an old site that has been running or operating for several years already, I would go for KYC.
That's the way to do it. If the casino has already established itself as a trustworthy site, then and only then will I try to transact with it even if there's KYC.