Most gambling sites usually ban players that use VPN so it would be better to look for a gambling site that will be more convenient to you and your place of residency. Even if you use a VPN to hide your location, they're still able to detect it so it's better to be sure than to take the risks especially if it will put your capital at risk.
They use VPN because their ISP blocks access to that gambling sites. If the gambling sites do not have a problem for users who use VPN, the site will allow them but if the user wants to withdraw the win money, maybe the site needs more things to prove they are not cheating on their site. If the user just wants to have the experience playing many gambling sites, using VPN will be okay because they do not think about withdrawing the win money. But I consider that search for the other gambling site will be better for the user just in case to prevent the thing that they do not want it in the future.