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 
At least, if we want to use a VPN, we need to make sure to use only a recommended VPN and tried to be their Premium Members. By being the Premium Members, we have many options of IP that we can use to hide our IP. I think that will not make the government suspicious, especially if we don't use big money to gamble. And perhaps, the ISP provider will not track our activity too. As long as we know how to use a VPN properly, then that will be no problem for us.