It's not just the taxes. There are gamblers who want to launder their dirty money through the casinos (in most cases, earned from narcotic trade and human trafficking). If they gamble through the legal casinos in Macau, then the money trail will be visible to the authorities and in the long term they will land in hot soup. These people want to gamble anonymously, so that the authorities can't trace back the dirty money.
That's true illegal gambling is where you can find bad guys who are very much into a lot of dirty activities, once you apprehend these guys, authorities will discover they are into a lot of dirty things like drugs human trafficking and money laundering, they are brave to do their things because they have money for protection, and they operate in a country where there is weak justice system.