and I think the reason for gamblers wanting to use VPN is to bypass their country's ban on gambling, why should anyone in a supported region still opt to using VPN?
Not all gamblers who use VPNs are using it for illicit purposes. Many use it for privacy reasons or just because they are used to it.
It doesn't matter why a casino forbids the use of VPNs, but if it does then just don't do it. You have to comply with casino's rules if you don't want to face any troubles.
However, it won't hurt to ask the support for permission and explain to them why you need to use it, as Mahdirakib suggested.
What they say about the VPN is also the most valid reason, I live in a Latin American country and I see how they have a certain resentment towards the people here, the facilities that some have in other developed countries are not available here, sometimes I want to do that my things are very direct to privacy, anonymity, because I like it, it's not because I have a lot of money and it scares me and that's why I have to use those protocols, but in a project I learned to use some tools like the VPN and some browsers like TOR, or Opera Mini, which make you difficult to track, so if the country I'm in isn't banned, I still enter like that sometimes.