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.
Don't worry too much about using a VPN if no mention of it on their TOS. Gamblers can also ask directly for their support for assurance. Just use the IP in the same region. In big winnings, we are not talking about getting over $10,000 or $5,000 winnings here. $1,000 withdrawals for example should be fine and won't have a problem.
Gambling sites won't ask for documents for big winnings but instead big withdrawals. Withdrawing by batches is advisable just to be sure. Don't switch also from one place to another place
(random) as a user might end up in a region where that site is strict.