I would say that it is somewhat safe since its an outgoing transactions on where these platforms wont really be that keen nor minding on where those funds  do go and they do only matter on the  funds that do inbound into your account which if you do deposit something came from a gambling site then it would be mostly  against their TOS and for most platforms would really be just the same. Asking out on what wallets are worth to make use into  your gambling then it doesnt matter but i do much prefer on using non-custodial ones like Electrum for Bitcoin and Myetherwallet for Erc20 and so forth. You wouldnt know on when those platforms would
be hacked and since you dont possess the keys of certain wallet then those coins are never been yours in the first place.