I don't use VPN connection to gamble on any online casinos and I don't even need to, but there are people who are using VPN, I found this not very safe because changing of location normally cause problems even if the casino don't talk about using VPN or not.

It's best to go through terms and conditions of any online casinos before using VPN, because you won't know if they support or are against it which could put you in trouble some time later on.

I have never use VPN and I will never use it for accessing any online casinos, it makes not much sense on my side since there is no form of restriction in my country but just make sure that the casino ToS supports VPN before using.