I usually use VPN when browsing because that's my default setup when browsing the web. I rarely claim any bonuses on any casino so I usually don't worry about me getting caught by there cyber security. I've been using VPN for many years and so far I don't encounter any issue for my account. Some of the casino directly prohibit it but there is some extension to rule especially if you are just using it for browsing privacy and not by abusing bonus of the casino.
Browsing with VPN open is marvelous, it is really insanely well. I use Opera as a browser as well and why wouldn't I have VPN open when I am there? Sometimes it makes it a lot slower, which is a big problem and I do not mean like slower in an annoying sense, I mean slower as in 27 kb/s type of idiotic slow, and I close it or change the region or just close the whole browser and reopen etc etc to get that back.
But aside from that, I still gamble and even claim bonuses and do all other things and I just see this as "if I get caught using VPN and they do not allow me, then I will just not withdraw that money and leave" so that is why I deposit small amounts.