There are many players who use a VPN, then it also depends on the way you use a VPN, it is still something else that you use a VPN to make the connection of your internet more stable than a VPN connection, used purely to avoid a country where gambling is illegal, there is a big difference and there are several reasons why someone would use a VPN, it will depend on the policy and what the terms and conditions say about it.
Using VPN will get you into trouble not always but most of the time so if you are okay with it then just use VPN to bypass or get stable internet connection.
AFAIK, Gambling sites don't restrict their customers from using VPN but if they are using free VPN then they are going to get connected to different services each time when they get connected to it which is going to make suspicious to the team at the winning circumstances.
Buying a dedicated VPN subscription will be worth when some gamble too often and don't want anyone to find their real location.