So, as i said, you is too small fish to catch you. The difference between bitcoin criminals and common criminals is that police has not much experience catching bitcoiners. They can catch such users, but they have to make a serious effort for it. If your transactions about $100-$100.000 - it is just waste of time for police. Exchanges and casinos will share your data as the police asks. It is a huge mistake to believe in anonymity in the internet.
Yes, unless it's a minimum million dollar case, the police won't waste time investigating them. So kyc for gambling, holding or trading with low amount should not be a fear for you. But one fear is that many casino sites sell users' documents on the black market to perform illegal activities, so you have to be careful about this. And for this reason, a reputable casino site should be used so that you can be safe from all aspects. Illegal operators buy documents from users for high fees that many sites cannot afford and sell the documents to them. So it is better to use reputable sites
Even reputable sites can`t give you any guarantee. Of course, it would be better to use such sites, they spend money in their security system, at least they are more safe than small casinos, but no one can defend it from hackers. If the huge offline companies were hacked, there are no doubts, that casino can be hacked too. That`s why it is important to use 2FA or sms for security - services that connected with some devices you always take with yourself.