Yes, you’re right, it’s better to avoid using VPN from the start rather than seeing your account getting compromised. After all, anonymity is not an issue anymore. KYC verification is the current trend, whether you like it or not, gamblers should comply with it so they can play on a reputable casino.
However, other casinos might probably promote using VPN, but later on when problems arise, that’s when they have all the right to change and update their ToS.
If there is no clear violation with the TOS about usage of VPN, I still advise gamblers to ask the support of the casino that they're playing to verify if it's allowed or not.
Whether we like it or not, there are gamblers that have been used to the usage of VPN because they've paid premium for it and they want to put it into use such as when they gamble.
There's nothing wrong with that but it's a fact that when they are KYCed, they cannot still deny if they are from the countries that the casino blocked its users.