Everyone of us have different perspective in our life like in gambling industry there are many gamblers who want to gamble in the casino who don't ask KYC it because they protect thier privacy and to remain anonymous.
Different perspectives will give different values to each casino. If they are concerned about privacy and don't want to touch KYC at all, then use gambling that implements Web3 which is currently starting to appear, using only the Metamask Wallet without the need to log in with a username or anything.
Most decentralized casino does not offer good games, while most web3 casino that gives the option to connect metamask for log-in has also KYC requirement on their TOS. So these licensed centralized casino that take advantage of Web3 technology can ask KYC anytime they see fit.
Well, considering the times we are in right now, I don't think that any licensed casino would allow players to make withdrawals without doing KYC. They might not be asked to do it for making deposits or playing on the platform, but as soon as they request for a withdrawal, even if all the requirements are met, they will be asked to do KYC at the end.
They do it because they have to, since the companies or authorities that provide casinos the licenses to operate in certain jurisdictions without any issues would require them to do these things I believe.