Yeah, it's strange if VPNs aren't allowed because they're using them because some countries don't have a stable connection on gambling platforms that are only available in certain countries. VPNs are commonly used in games, and there is nothing wrong with using them; in fact, some people use them to protect themselves on public networks.
To be honest, a lot of VPNs are promoting their product to get into geo-restricted gambling platforms, so I guess what matters the most is the multiple accounts that abuse the benefits.