From my little experience of gambling, I can say, all casinos can ask you for KYC document if you suddenly win a huge amount of money and then try to withdraw the entire sum. Like DEX, we don't yet have a Decentralized casino which can ensure complete anonymity.

If you find any such casinos, please let us know as well. Highly likely they have some shady background. If you are planning to play with small amount of money, then usually you should not face any kyc related issues..