Well, first and foremost, that "feeling in control of their fate" is never a reason. On the contrary, when gambling (at least as far as games of chance are concerned), that control is totally non-existent, unless you are setting the chances of winning to around 90%. But when I play dice, for example, I normally set it at 50%. The fun that comes from there is that out of that equal chances of winning and losing, if you turn out a winner, that somehow gives you a feeling that you are lucky. And since you (perhaps) love the metaphysical approach, it gives you the feeling that the universe is on your side. And that is fun; it gives you a light feeling.

Another could be the fun coming from going up against the house, which has an edge over you, and turning out the winner. Testing different strategies is also fun despite being aware deep inside that it won't succeed in the long run. Oftentimes it is already fun seeing that your new strategy is lasting more than the previous one.

Finally, during those hours when you seem to have nothing else to do and the seconds go very slow, rolling the dice is keeping you sane.