I don't know why anyone is surprised that the casino insists that the client needs to prove the origin of the money with which he won millions? This is not about a few hundred or a thousand $, but a very significant amount that would raise red flags at any online casino or CEX. If the client has already done full KYC, I don't understand why it is a problem to show the origin of the money - unless it is money that is not from a legal source.

Any casino that does not conduct such a check could very easily be accused of not implementing AML, and could lose its license.