We are not doing anything illegal,we are not doing gambling with someone's money but we still we have to keep those gambling activities under dark life which means gambling is still not accepted in the society we are living right?
It will be illegal if we live in the country who put gambling as a bad activity. Yeah we just have a thought that gambling is something that won't harm other people but the government has their own way, they will catch anyone who play gambling although the gambler use their own money. So, with online gambling who can keep our personal identity anynomously is something that very useful for the gambler. And also we can hide our activities in our society.
AFAIK,many countries banned gambling for saving people from scam gambling activities but in the modern world it can be easily identified with the help of internet and more over crypto gambling too it to the most convenient thing to do but we are still hiding for some reason.