Safety first: unregulated casinos can easily come and go; the majority of them might just be out there to attract those who are privacy conscious, and when they gain their trust, they can disappear, leaving no way to contact or trace them.
 
I'm already a customer at some major licensed and fully regulated casinos, so I don't see any reason to even go after unregulated ones. As long as the service is centralised, they can come up any day and ask you to provide a verification document.