Sometimes some exchanges Don't allow founds from different gambling site and they postponed withdrawal and deposit. Exchanges have some regulations and rules where exchanges don't permit gambling fund and liquidities.
If you done KYC on those gambling site or Exchange then I also believe that there should be no issue on that, not unless you violate the rules and regulations of that gambling site or that exchange. I've tried withdrawing from duelbits to exchange and the transactions gone smoothly, this is kinda rare and maybe also depend on how much is your withdrawal, better to contact the support to confirm your problem.
Maybe we can try for a small amount first to see if there will be a problem or not. And if no problem at all, we can continue to withdraw for another amount, but it will better if we do not withdraw for big money at once because the casino will check the account first before they let the process continue. As long as we can follow the rule and not break it, we will be okay.
Better to check the terms of the exchange instead of trying it with small amount. KYC is also has nothing to do with the terms of the exchange imho. If an exchange is against gambling activity, even if we have done KYC on both the casino and exchange then it will be a problem if we force ourselves to withdraw/deposit in exchange for gambling activity since terms is terms. It is even better if we do not do direct transfer from gambling site into exchange or vice versa. Using personal wallet is the best option.