I never understood the rule about no VPN as long as you're fully KYCed.
The casino already knows your identity, what does it matter how you access the website when you're already verified?
It opens the door for a lot of misunderstandings, what if you travel, what are you going to do, stop gambling because the casino might think you are using a VPN?
I think the use of VPN is not about casino but rather ISP. I personally would not want that my service provide track my activity and learn that I am inclined to gambling. Who knows with whom they cooperate on personal data sharing and how my data would work against me.