If you are gambling in local casinos, the casinos operating are likely paying taxes, which means they are registered as a business and gambling is legal in your country.
Yes, the casinos may pay taxes because they're a type of business and each business has to pay taxes in order to work in a jurisdiction.
But, there could be some illegal casinos who may not pay taxes to a government directly but may pay commission to corrupt administrative officials.
The end user doesn't have to pay any taxes in that case because he's not a part of that business but someone who just utilizes it for his/her fun.