The only benefit that I can think of that makes some casinos allow users to use VPNs is as a result of them not being limited by country restrictions that block the citizens from that particular country from gambling. They don't want to miss the traffic and revenue that can be gotten from those people.
For those who don't allow it, they don't want any stress of a gambler trying to outsmart them, especially for those who are banned from using the casino or casinos that are strict with regulation; they don't want to be queried by any government for allowing their citizens access to their casino.
Greece has blocked most, if not all, cryptocurrency casinos, which is why I've resorted to using Cloudflare to mask my IP; I haven't faced any issues so far. I highly doubt that they're banned because they're not secure or regulated, but because they're not receiving taxes from the earnings. Supposedly, most, if not all, casinos prohibit the use of VPNs in their TOS, and it's quite reasonable if you think about it, for ban evasion reasons, multiaccounting, and so on.
Perhaps you'll never face any issues, provided that you're not abusing the system in any way or using a free public VPN that may have been used by other users as well.