In many respects the internet is still somewhat of a wild west. You don't need a license strictly speaking, but if you take deposits and allow gambling by users of certain countries then you will eventually draw the attention of the authorities. People will lose money, people will complain, unless you have extremely good vetting a few underage users will get caught up on your site. Many gambling companies block certain jurisdictions like the UK and US who can likely give them the most legal trouble.