I would say VPN is not as dangerous as you make it out to be, it is just normal because casinos are banned in my nation so I have to use vpn, otherwise I wouldn't be able to gamble at all. Of course it is dangerous but what is gambling if not doing something dangerous?
The problem is this:
Many platforms (exchanges, gambling casinos, ...) explicitly prohibit the use of VPNs in their Terms of Use. This is not a big deal for gamers, you can still use the services via VPN.
But now imagine you are extremely lucky and win 2 BTC and want to withdraw them. With such sums, manual checks are usually in play where it is then also immediately found out that you are using a VPN. The withdrawal process is then blocked and your user is banned.
This is unpleasant for casinos, but not too tragic, since you have probably only invested a small amount of your own money. But imagine that with an exchange, where you can no longer withdraw your hard-earned BTC ...