I do not think that there are any legitimate and regulated casinos which are VPN friendly. And as others in this thread have already written; any casino can change their TOS at any time and you would probably be caught unaware. It is a better idea to rather not use a VPN.
Some will probably advertise they are a VPN friendly casino, but you are right with the terms as ithey could change it from time to time. But if they are reputable, they will not revise their TOS that would affect their users in a negative way, there's still this warning to give them enough time to do the necessary things to comply. AFAIK, casinos that requires KYC would require a documents to prove the information we submitted, but changing of IP address and Location might be a different thing. Although there's no definitely TOS that says it's illegal, but based on the other users experience they shared here, might as well keep ourselves safe by not using it, prevention is always a better way.
It has something to do with laws that the casinos have to follow. AML is a big one. Otherwise any casino could launder money from some anonymous people at any time. That would not work.
AML would only require a KYC of the casino users, and that documents has to be verified by the casino if it will pass or not. A VPN could be another thing, but of course it will change your real location which will be hard for the authorities to find you if you are laudering money. That makes sense then...