For whatever reason a VPN is actually not recommended by casinos unless we understand the risks, the most likely risk is having to go through KYC.
It might be not recommended and casinos want you to play with your IP so they can keep track if you are not abusing any regional terms but in most cases players use it because asking for KYC can be in rare case while for VPN setup you don't need any such documentation so not a big deal according to me.