I think if they know if their casino is illegal in their country, they must ready for something like that. In my country, gambling is prohibited and whoever play and caught, go in jail. I think they just need to follow the rules from the country.
Or the casino business owners can run their casino in a secret place, and only trusted people who can join with them, and they only invite people who they known before. Usually, this type of casino has wealthy members who don't want to get caught by the police, and they pay for some money to corrupt police to protect their business. I think that it has run in many countries in which gambling is prohibited, but they are free to operate the casino.
And this is the problem of banning an activity instead of regulating it, casino owners will just move underground and will continue with their business despite being illegal, and while it is possible they will get caught there are many countries in which finding corrupt officials is not difficult and since they earn a lot of money with their activities it will not be difficult to bribe them.
While all of the above is wrong we know it happens and it will continue to happen as long as an activity that does not harm anyone like gambling keeps being prohibited by governments instead of imposing regulations.