I will advise you do the KYC and take your assets and forget about to he casino. Do no it trust any third party to keep your assets with them. Remember that " Not your keys not your coin" is still very much important. I believe you have learnt your lessons from this experience now.
And what we learned from this situation? We can all find ourselves in a situation where the casino tells us that we have to go through the KYC procedure if we want to continue playing and depositing/withdrawing money. It's a "new normal", and we have to be ready for something like that, especially if some bigger money is at stake.
Well, I would probably take your advice... At least for this amount I would finish KYC and move the big part of that balance to my wallet, but I am not sure I would just forget about the casino. If it's going good maybe I would continue playing, and I would feel pretty safe about my future deposits & withdrawals.
Absolutely, one must do his or her check and balance to know what they stand to benefit most against all odds. If OP feels after finishing his or her KYC and the casino is still okay, up and doing then so be it if otherwise OP should do the needful and go on with his or her life.
Come to talk of it, the value of the asset is not worth losing. If it is in my country here, it is a huge amount of money for that matter. Although the amount is still very big in dollars and is not worth leaving there but one thing OP should know is that laws are not static as well. They can change policies at any time and one would have no option than to play along for their own interest. OP should know this and do the needful.