That's right but I actually see a lot of players from countries where gambling is banned on almost all casinos and sportsbooks, for example in India sports betting from what I know is illegal but yet most sportsbooks are accepting players from India and they have no restriction. I guess most of the casinos wait till they get some kind of warning or official letter to stop players from their country from the officials or the government representative.
Don't ever play guys using a VPN guys because it will only create more problems for you than good. There are many cases where the player was found to be playing from a restricted country and labelled as cheating the casino, I don't know how someone playing against a house edge is cheating the casino. I agree one should not play from banned countries but still, it shouldn't be classified as cheating. At best, the casino should just pay out the deposits and block the user from playing any further.
You are right that many a gambling sites are banned for few countries and few countries banned few of gambling sites. But many a gambling sites provide shadow sites for those countries as their original main sites banned by the so called country.For example: you can find out shadow sites for 1xbet, bet365 and many more for several countries.