Here in my country I think we don't have something as a gambling tax on the winners of lottery or those who manage to get lucky at the local casino. And I agree with you, gambling should not be taxed, because those earnings are purely gotten by chance and not by any regular commercial activity or business. the United States is one of those countries in which people get taxed by almost any income they get which could be perceived as unfair, in the case of gambling, I believe it is indeed unfair.
Also, it would not have any important impact on the macroeconomics of the nation if they decided to let lucky gamblers alone, the percentage of money gotten by taxing gamblers is relatively small when compared to the outstanding national debt they have to pay to lenders.