Well, we have different perspectives on choosing a gambling site. Most gamblers do care about their privacy in any online gambling platform.
Perhaps you did not care because you prefer to ask KYC as a verification, and that is the reason that some gamblers also prefer to use cryptocurrency for anonymity purposes. However, if you are deposited/withdraw a big amount, I can't blame the gambling owner required KYC for that transaction to avoid money laundering, but that is not a problem if you gamble just for fun and use amount that you can afford.