Even governments will not be able to verify its members, government can asks the casino to apply verification to their members and force the casino to follow their suggestion. We don't know how strong the government that can push some business to follow the government wants so that will makes the casino will change their rules. We as a member of some casinos will not have any choice except following the casino rules but we can reject the verification by searching and moving to the other casinos.
Even you use XMR or private wallet, if casino asks you to verify your account, and casino will do that for all of their members, you should follow what the casino wants. Gambling with privacy coins can protect you but we know how the government works so the government can force the casino to reveal their members identity to search for illegal things in that casino. We can only trying to use crypto playing gambling and we must take care of ourselves while playing gambling. If we think that playing gambling using small money is enough to prevents the completed verification, we can do that so we don't have to send any verification to the casino.
Governments will only be able to enforce KYC on centralized casinos or gambling sites. But what about truly-decentralized gambling dApps built by anonymous developers? Governments will have a hard time trying to verify the identities of gamblers using such dApps. I know centralized gambling will always be the leading force of the industry. But that doesn't mean it'll be the end of private and decentralized gambling. They will turn into a viable alternative for those who need it the most.
I choose to gamble with crypto because of the many benefits it provides. Even if market volatility leaves me with less profit in Fiat terms. Just keep all of the proceeds in crypto (never cash out or convert to Fiat), and the "taxman" will leave you be. Who knows how the crypto gambling industry will evolve in the future?