So, the casino doesn't ask for KYC until they detecta some kind of abuse on the user side, and I feel like this is a tricky move because even if we feel the casino is anonymous they can ask for our documents at any time.

Just think about the next scenario, we are playing with a vpn on a Black listed country, if they are KYC for X or Y, they will Block our account claiming that we can't play on their casino if our cretentials are from that forbiden country, the doesn't sounds nice at all.