That's a really weird experience, it's the first time I read that. But what I don't understand is how did they know the deposit address was belonging to a gambling site? Usually one address is at least generated for each account. So they have no way to guess that fresh address belongs to a gambling site. For me the issue was not related to the nature of the business of the recipient.
Thye are good at tracing addresses I experience sending a small amount of Tron just to test it to my local exchange from one gambling site I'm playing and it never arrives and the support of the local exchange explained that all funds coming from gambling sites will not be credited, so fortunate that I did not send a huge amount, so better check your exchange's policy about deposit and withdrawal, it will save your funds.
I think not any problem when withdraw with small amount, its not trouble about withdraw to gambling site or not just happen because withdraw with bigger amount, almost exchange market want to make limited withdraw your fund and hope you hold assets on their exchange market.