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 ...
So, the question here is this; should you not gamble at all because using vpn is totally not allowed at all? Or should you still gamble with vpn? I mean there is no option of gambling without vpn in my nation, if there was one I would follow that rule and say that I do not use vpn and just continue with whatever I want, gamble anywhere I want, it is just allowed right? But since it is not allowed at all and it is totally banned, that means either I will use vpn or I will not gamble at all, those are the only options.
There is nothing wrong with using vpn and putting in tiny amounts, most places now accept coins with very low fee, there are even places that accept tron which could be free when using like 10 bucks, which means you can put money in that you think will not matter to you, in that case if I am completely banned then I just lose a tiny amount.