Perhaps using a VPN is not a priority in terms of security that casinos use.
Of course AML type checks have much higher priority.
From what a perceived, they will consider the two under the same security measures because those that make use of VPN will try to use such as a means to achieve their personal goal at the detriment of the gambling platform and the security alert and measures taken by AML will also include the use of VPN in case of those that will like to play smartness on their network and bye pass away their system on certain restrictions.