I've worked for companies that ask you not to engage in such behavior.  I once worked for a small company owned by a Mormon who used to want to meet everyone's spouse and make sure that their entire living environment was in line with how they expected people to live.  Very strange...  I don't think this is typical, but I know it exists.  Things like gambling, smoking, unhealthy eating, all were things that were not allowed to work for this company.  I spent about 9 months there before deciding that it was more like a cult than an employer and decided to find something better.

So yes, I do think that there are employers who will use your personal choices in life against you, whether that be gambling or anything else they don't like.