Well many casinos know that VPNs can help players from prohibited countries to play but that doesn't mean that players are "safe" because even VPNs can be tracked and if the government wants, it can track it as well! The gambling sites encourage those players to play via VPN but they won't take responsibility if the player gets prosecuted 
Had you guys heard of ToR recent hack? And it has been years that those guys are terrorizing our privacy without a single hint thay they attack us.
Check it out here.
https://www.facebook.com/404460532994922/posts/2509439352497019/
So yeah, even VPN now isn't safe and if you think you defied the site, think twice, maybe it is you who are being defied by hackers.