There is also yet another possibility, when the tax on something is too high like on liquor or cigarettes people will find products that did not paid those taxes and that are cheaper because of it, this is why governments need to be careful about how they tax something as too high taxes can generate black markets, and the same is true for services which is the category in wich gambling falls, if the taxes are too high then illegal casinos will appear and people will prefer them over the legal ones simply because they give better odds.
^ It is possible, but my question is if there is an illegal gambling casino which is you think they are much better than the regulated one, will you still gamble it there? For me, I don't, because most the illegal gambling casino has shady activity, not unless, the government will hunt them and force to stop operation which is very risky if you have a fund on that casino. That is why even how taxes will apply to the casino, they are still preferred this since they are running a business, besides, generating tax must have a calculation per annum and I don't think there is a casino that give more than 80% to the government, usually from 10% to 50% probably.
I would obviously not play there as I will have the same worries as you, but just as there are people like us that want to do nothing with a place like that there are many people that will do it, after all the fact that they are playing at an illegal casino will only add to the excitement of their gambling activities and when we add that those casinos do not have to follow any regulation then it is fair to think that you can find almost anything illegal there, so while for us that will be another negative for many people that is a positive, as hard as it may seem to believe.