I don't think it's a good idea to use VPN, unless the casino states they allow its usage. When VPNs are forbidden, but the gambler insists in using that, the house has an excuse to deny a withdrawal or to ban an account. And as we know, it may not happen in a first moment, as it's interesting for the casinos that the gambler deposits and spends his money there, but the punishment can happen after winning a considerable sum of money and attempting to cashout it.

To consider VPN the last alternative to access a casino is too extreme, though. There are always alternative ways to gamble. Check for another websites, check for potential physical gambling shops and in more scarce places, organize gambling sessions with friends and acquaintances. Just make sure to always follow the rules of the casino you are playing, so you won't have headaches later.