You have no choice but to comply to the site rules and regulations in other to get your BTC. I will advice to read gambling site rules before using it next time to avoid misconception.
No, If they can not honour my winnings and demand for KYC for withdrawing 0.00346 BTC then i don't want it. Least they can do is refund me back my initial deposit to the same address i sent it from. If they don't then clearly they scam me. I have no intention to do KYC because i respect my privacy.