What I know is that using a VPN is very risky in gambling. Especially if the gambling site has rules that prohibit the use of VPN.
Why would anyone try to use a VPN if it's against the TOS of a casino? That's suicide, and it just lets them trigger the freezing of funds. Most casinos probably allow using VPN, but if a user uses VPN to bypass any restriction, then it's a violation of the TOS, and the account will be dealt with accordingly.
In the long term, VPN use will still be detected and can cause several problems with your account. It's better to avoid and try other sites to be safer and more comfortable
Right there and then, they will know if you are using a VPN because it will change your location from your original one when you registered it without a VPN. However, they could delay the action of such a violation, and you'll just be surprised when your account is compromised, thinking what you are doing is acceptable but actually it's not.