This is why it is important for you to read the terms in the casino you are playing, terms related to the usage of VPN.
If you cant find it, ask their support to know you are allowed to use VPN or not.
Some casinos are allowing users to use VPN to bypass the restriction of game providers but not to bypass casino/license restriction.
If you are allowed to use VPN, make sure that you do not use the free one so you need to find paid VPN.
I absolutely agree with you there. This is why I always read their TOS and I also check of they have a list of countries that they don't allow to gamble in their casino which I'm sure you know those who still create an account using VPN and luckily won big amount is that they can't withdraw the amount plus the gambling site account would also be banned. This is because I came across a gambling site that I almost deposit some funds (though it may be small but it still my funds or money) because I ask the representative if they have a list of countries that are restricted to their gambling site. I am not quite sure why some countries include my country in one of the restricted countries on their casino when my country also have local casinos. It might be illegal and will be put to prison of a group of people found gambling against other gambling locally (not a casino by the way) but still the local casino in my country are allowed to continue their business as long as they have permit.