Withing having an prior knowledge I'll go with an instinct answer of, since it's more easier to launch an online gambling site without any permission and staying completely anonymous, not been registered under any government body, than it has to be also easier to operate them without having to comply with the KYC/AML rules and regulations. The gambling industry is less regulated compared to the exchange industry, and since cryptocurrency exchange are more related to cryptocurrency than gambling sites using cryptocurrency as payment option, government officials are more interested in the affairs of the exchanges therefore more eyes are on them (the exchanges).

Gambling sites handle less funds compared to exchanges and they're not easily used to launder money when compared to exchanges too. Also when they're in charge of funds, they aren't held for a longer period since most games don't take that long to end and payout area made almost immediately.