Of course, you should never trust the rule that a casino allows the use of a VPN.
Nope, if that is on the rules like on their TOS, then we are allowed to use a VPN. Other casinos may announce they allow but in the TOS it's not written. I think they really need to emphasize it already as this VPN has been a problem now and some casinos used it to scam users and point the issue into violation of the terms.
VPN should be fine, why would they prohibit use if we just want to achieve privacy, although we follow the KYC procedure and we are known to them, we still have the right to keep our privacy by using a VPN, as long as it's in the TOS (allowed) it shouldn't be a problem.
This is true, some gambling sites allowed VPN but only in the country where their website are operating legally and having this kind of rule will lead to KYC as they will need to verify first that you are residing to a country that their website or gambling is legal and you'll only using the VPN for privacy and if you use different IP from different countries it would assume that you are using it to just access the site and therefore they will ask you to undergo KYC procedure.