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.
Using VPN is too risky especially if it's used to bypass the restriction, I would not do that if I'm gambling with a decent amount as there's a risk that my withdrawals will be blocked and they'll investigate my account and once they'll do that, the account will be freeze and there's a possibility that it will be confiscated. That's how risky it is, so if you're willing to gamble on that risk, then you are free to try it.
Correct
Never use the VPN when you are gambling there was a player who won a lot and when he did try to take the funds out his account was frozen and when he asked about it the reason was use of VPN, although they were good and they returned the initial amount.
At the same time this gives the right to the company to freeze your account and if the site is not good you will never see that money again.
Then again you should understand that there are numerous sites accepting US players so the use of VPN is not even essential. Therefore what you can do is, go through them, people already did list a lot so am not gonna repeat it but refrain from things like VPN.
Best of luck