So having a cold wallet for a casino is recommended because that can prevent hacking that can happen anytime.
Cold wallets has nothing to do for security of the gambling website to prevent the hacking.
If you mean it's used to minimize the damage of lost funds taken when a hack happens, then it's reasonable.
In any way, gambling websites should have the same security feature of what exchanges do, it may be a matter of # of funds stored in its hot wallet but it is still a fund to run the business and should be considered in high level of security.
It really does not matter whether the website is for gambling or its a crypto exchange. Any site that you transfer your coins to is a decentralised place that now has full control over your funds. And doing KYC or whatever might protect you from a legal standpoint, in some cases, however in a practical sense, your coins are out of your hands. Not your keys not your coins.
What we need is a gambling site which is as decentralised as possible and which does not store funds.