It's probably easier to explain what I'm getting at using a different example. Someone has a website hosting a downloadable copy of a film. That film is subject to copyright in the UK but the site is hosted in a country that doesn't have any restrictions so the owner of that site isn't doing anything illegal. The copyright owner obtains a court order forcing UK ISPs to block access to that site. Someone in the UK uses a VPN to circumvent that block. When they download the film they are now guilty of possessing pirated material. It isn't anything to do with the blocking or using a VPN that's illegal, it's downloading bootlegs. If someone is forced to use a VPN to access a casino then there is a possibility that they might be doing something that's illegal in their country. I'm just pointing out that just because you can get around something with a VPN it isn't necessarily a good idea.
The difference is that it isn't illegal for the casino right? So the casino is doing something legal, it is just illegal in UK for that example, so someone from UK gambling at the casino has nothing to do with casino doing anything illegal, they are still licensed and proper and doing a legit business, it is the gambler that is doing something illegal.
However, we have to consider what stage of illegality we are talking about. I do not want to name any names, but in many nations there are certain video websites that are illegal, it is illegal here as well, you can't watch those ... educational videos. However as we all know everyone does, there is no stopping anyone and VPN is used there.
Is it illegal in that sense? Like would there be any returns on that? I doubt that anyone would be jailed or punished for watching them, that is a low level crime that nobody even cares to follow up, unless distributed themselves illegally. Is gambling that low? Or is it worse? That is what we gotta learn and that changes from nation to nation. So, we can't really know exactly "how much illegal" it is. Best not to test the limits and see how illegal but getting caught doing something illegal.