Currently I am using Binance wallet, but I heard that they can lock account and ask about these transactions.
I have seen a topic like this before, but I forget which board. the solution is one, don't put your balance in an exchange wallet, use the wallet to which your own the key after that transfer it from your own wallet to exchange. this trick will save you from banning deposits from gambling sites.
Just like almost all the replies above , Don't put your funds directly from Gambling sites to Exchange specially binance because the opportunity of getting frozen or banned are there.
There are several issues here that says binance hold their funds because being found that the amount comes from gambling in which most exchange does not support .
Is using Binance wallet for gambling illegal?
I'm not sure if this is illegal but it is not safe because of some cases that tackled here even before.
and also our own local Exchange prohibit us to put the funds directly from gambling site because you will be banned.