From one point of view, there is no risk here. Again lately if we see the number of data thefts increasing day by day. Now there are many scammers who steal people's information from KYC verification and sell them.
This is a bit contradictory! First you say there is no risk then you acknowledge that there are many scammers and thiefs targeting users'p personal information!
My concern is that there are many people who still don't realize how valuable their personal information are and how scammers and fraudsters can use them in their scam schemes.
The best thing is to check not only the legitimacy of the site and even the track record of the owner. It also helps knowing what are the KYC third party platforms and their reputation. If I own a casino, I would not like to risk the reputation of my site nor the possible legal actions that could take place if my system is hacked. For that, there are a number of thrid party specialised companies with the right security.
It doesn't have to be a hack, it could be an inside job. The bigger the book, the more likely that the player list will be stolen and sold. A license or the reputation of a book doesn't make any difference. No one wants to buy a small player list but a big one is valuable.