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.
Yes in this direction, from the online casino to the exchange, I agree it's feasible for the exchange to check the previous addresses of the funds and to spot a known cold/hot wallet of the casino, but in the other way, from the exchange to the gambling site it's not possible for the exchange to know if the recipient address belongs to a casino, except if the address is a hot wallet of course.