It's not the first time I have heard that something like this has happened, there have been stories about things like this before. But such a thing has never happened to me, and I have used many exchanges and have zillion transactions from exchanges to gambling sites and vice versa. And I don't know anyone who experienced something like this.

It is difficult to determine if something like this is really true... in exchange offices (as well as in casinos) people are often banned for various reasons, and people often "forget" to tell the whole story and show some proof. Maybe it's just that their account is connected to some other shady dealings but they decided to attribute it to transactions with the casinos.