I think those VPN friendly claims is that you can use VPN without a problem with terms that you will not use it to bypass their restrictions set on country that was restricted or to abused their bonus using multiple account. Some casino like Stake.com has a terms that fully restrict the use of VPN no matter what is the purpose either for privacy purposes only while your country is not restricted.
There were lots of complain we will saw about that the casino restricted the user account just for using VPN. And I also have seen lots of peoples use stake and also use stake few time with VPN, without having claiming the bonuses by abusing and to be honest I don't see stake really restricted users for using vpn's maybe it because of only I had bet with very small amount. But it is always suggested to not use VPN you can try to check with small fund but never try with big fund by using the vpn.
I think “VPN friendly” is not really meant that they support a 100% anonymous betting. They just allow it to cater those players that use VPN by default but they are still subjected to KYC.
What I mean by this type of VPN friendly is that it definitely protects the user's full privacy, which means being very much like anonymous. Where this is not the case, I don't think it's a good marketing strategy to call it a VPN family.