Don't see a site restricts their user to use a VPN and you shouldn't have to worry if you solely play without doing any illegal activities since if you abuse their site for your you will be compromised since they could find it out even if you use a vpn.
I'm a vpn user and play with those site who are restricted on my country and so far I don't see any issue with it since there's nothing bad happen on my account lately.
But when it comes to a site where KYC will be asked, it will be a big problem for you since it will make the verification of your documents getting harder because your real address will be slightly different with the IP address you use while gambling. Better to avoid using VPN on a site with high possibility of KYC.