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.
From my understanding and some post I have came across so far, if a gambling site doesn't specify in their TOS about restrictions/prohibition of vpn then there is nothing wrong with using it, but if they specify and still permit then it could be that your country of access is listed on the site and your location should fit or suits with the country of accessing from. With this there will be no issues and the casino wouldn't hold any issues against you neither would they restricts you from having access to your funds, though for me to avoid drama it's actually good to avoid it entirely.
I think casinos free up restrictions on countries that are indeed excluded by most gambling sites because they want to get more customers, they try to attract more people with various conveniences without any exceptions and this is kind of strategy to be able to gain more profits.
However, if at some point the gambler gets really big win and interestingly, no one knows whether the gambling site will still accept the withdrawal with full convenience or there will be series of complicated problems, basically as gambler, the majority still don't think about what will happen if there are certain conditions that might be problematic about KYC or the use of VPN if they withdraw large amounts of money.