You should always ask in livechat to see if a casino is VPN friendly. Personally, I have the impression that more and more casinos don't mind the use of a VPN, I know some bigger casinos don't like it but I know of multiple casinos where I can use a VPN without any problem.
What I understand or assume that the new casinos or those who are not so old, they allow the use of VPN so they can attract gamblers who want to gamble using VPN. Some of the old trusted casino will not allow VPN because they have their strict rules and they do not need gamblers who aren't willing to play without VPN.
Anyways, there should be a valid reason why would anyone use a VPN? Maybe to hide the identity but with KYC implementation, identity is not hidden. Another reason someone accessing the gambling site where the gambling is not permissible and they need to bypass the local authorities.