Do they continue with allowing users to use VPN, or do they have "some trick"?
This is possible, they can keep allowing users access their websites with VPN and turn a blind eye to it, so their profit is not significantly affected.
they are bribing government officials and Police in order to keep operating,
This can also be true, only someone who works in one of these Gambling sites or well affiliated with them will be able to tell you the method they use, because I also think that different gambling sites may have their own own methods.