Such as protection for gamblers who are cheated by casinos because their games are considered suspicious or because their accounts are blocked unilaterally by the casino. If yes, how do report it? if there isn't then there is no difference between countries that legalize gambling and those that don't
There should be a local regulatory body in charge for gambling things you could try to reach out to, however, keep in mind that changing your IP address to another country with better protection does not make you under their jurisdiction.
So that's all? countries where gambling is legal do not have laws or institutions to protect gamblers from online casino fraud? So how does a casino license work if gamblers cannot report or protect their gambling activities?
Rather than being legal alone, I think it has more to do with a country's legal framework around online gambling and how it is being enforced. For instance, in my place, gambling (both online + brick and mortar) is legal but there is more corruption [with the regulatory body in charge] than protection for their people lol.