Because of the nature of business. Typically most of the gamblers want to anonymously gamble in crypto casino while exchange is mandatory required KYC so user knows that they will doing KYC before they use exchange.
Casino ToS doesn’t state a mandatory KYC and this is the reason why many people choose crypto casino because of privacy. This kind of privacy is already starting fade off because regulators already forcing them to do it with there customers.
Even before they ask for KYC, then moment you decide to sign up and use a centralized service like a casino. Your privacy flies out of the window. Those service collect a lot of data that you have no idea about, from IP address logs, device ID, browser information to time zone and betting patterns.
If you want privacy. Avoid completely using a centralized service.