There is another problem with using a VPN.
 This problem is due to the fact that when the casino understands that you are playing through a VPN for the casino itself, this means that you have something to hide.  And therefore, the reasons why you do this may first be general, such as a ban on games in some country.  But then you are breaking the law of this country.  There are also some secrets simply about the player’s personality.  But theoretically, he also violates the law, since he hides his income or expenses from the tax authorities.  It turns out that in any case the player is also breaking the law.  This is how I think, and it becomes clear why the casino treats such players who use VPNs as “second-class” people and clients.  Therefore, the casino can safely deny winnings of large sums to players who, using a VPN, cannot provide real personal data. 
And for example, KYC is just one of the options to refuse payment of winnings if the player is ready to confirm his identity, but has previously used a VPN. 
A reasonable question from the casino - why exactly did this player do this - will remain without an intelligible answer.