Because we have loads of cases where gambler's win some huge amount of money and the casino refusing to pay and when reported to the authority you here such things like the casino is not licenced by them or they don't have control over the casino case, the government is only interested in the tax and not protecting the interest of it citizens.
Nobody can escape taxation; if you're living in a third-world country, expect to be taxed on everything you purchase and everything you do. By theory, the government has an obligation to its people to serve their interests, and if your government can't do that, then you have a corrupt government, and if you know that your government acts like that, then only play at casinos with a license and a good reputation, so you will not bother yourself by complaining to the government, which is futile to do.