I don't think there is any special need to use a casino site using vpn. VPN is used to access sites from countries where casino sites are banned.
In my case which our IP provider block gambling site while our country is not restricted to play in online casino, VPN is very helpful for us to access the casino legally since only our ISP is blocking the access while the casino license allows us to play.
However, you should not deposit large amounts of money by accessing gambling sites using vpn. Because if you access a site using vpn, cloudflare can ban you on that site at any time for the safety of the site. So no site will be completely vpn friendly. However, a casino site can be accessed temporarily using a vpn.
Why will cloudflare will ban you on accessing the casino using VPN. I’ve been using VPN to access the casino in the past for long time without any problem. This is my first time to know that cloudflare can ban you when VPN was use. Can you give me some reference for this?