Why would you want to avoid being identified, if you gamble legally and if you are not a criminal? Let's discuss the reasons why KYC are not advantageous for the gamblers and casinos?
If I were underage or lived in a country where I couldn't have access to any casinos in a legal way, due to them banning every customers from my country, of course I would want to avoid being identified and I wouldn't consider myself a criminal for that reason. Maybe towards the law and the local moral code I would be considered one, but there are universal values which go beyond local rules, that might be moral, but not ethical. A good example of this is the fact that to persecute jews in Nazi Germany was considered moral, and those who didn't do this were considered traitors and criminals.
So, if someone is called a criminal for going against a moral code, while following an universal one, in order to practice or fight for his freedom, let them call you a criminal... It doesn't mean anything pejorative against you, after all.