I agree with you because using VPN while we are not allow to use that will only gives a problem in the future. The casino can easily knows about that and they can block our account or even ban us from their casino without notice. That will be our mistake if we still insist to use VPN because of the restriction. We can search for the other casinos that allow us to playing gambling so we don't have to take that risk.
Most casinos will allow you to keep gambling with them as long as you lose money, but if you were to get lucky and won a substantial amount, you can be sure your account will be closed on the grounds that you have broken their TOS, and you will not be able to do anything about it as it is true, so if a person thinks they need to use a VPN to gamble at a casino in which this practice is forbidden, they need to reconsider as the consequences can be grave.