Most IP tracers are able to detect VPN based connections and they store data about the VPN based IP addresses and I believe the casinos and other businesses might use the API's of those sites to detect the VPN users.

There might be some other tools that the casinos use to detect VPN users by filtering the VPN IP addresses. Most VPN's give similar IP addresses and that can make the work of those casinos much easy.

I'm not fully sure but I believe the ones who deposit/withdraw small amounts aren't impacted in anyway even if they use VPN's but if someone wins a lot or deposits a lot and hasn't yet completed the KYC then that person might have some issues later on if he/she is using VPN on a casino where VPN isn't allowed.