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I think mu_enrico explained well in terms of blacklisted and banned countries. Some countries are banned due to legal restrictions while other countries are only restricted by some game providers. Using a VPN may be a way to circumvent these limitations. However, it is always a good idea to read the Terms and Conditions carefully and act accordingly.
You are right, but there is always an open question, for example in my country sometimes it is listed in one of the prohibited countries, but I have an hour or so left in a country where it is not on the list of those countries, then if I move to that country sometimes does not accept KYC even though one may be in a country that is not prohibited, there is no need to use a VPN, but when a VPN is good and powerful enough, it happens as if it were in such a country, how do they do then for those cases
I've always been seeing that open question.