Yes, you are right that casinos will never ask you where you get your money from when you visit a gambling place. If you have money, come in. If you have money, come in, if you don't have money, get out. That applies if it's a land-based casino, if it's an online casino, if you have money, please gamble, if you don't have money, please visit the demo mode. Casinos will only serve you when you have some money to bet.
Only if you gamble offline and you are a low bettor
If you try to deposit in online casino from address that is in blacklist for illegal deeds (used for mixing or maybe address was used in scam or exchange hack), you will immediately get account frozen and a request for KYC. As to offline casinos (not sure if it works in every country), if a person is a dirty alimony not payer and tries to make a deposit via bank, casinos will get notified for that. If you bring cash, I think under some limits you can gamble freely, but if you bring a sports bag filled with banknote nominal mix, you will have questions from their security officers