Well, I really do not see anything wrong in withdrawing funds from a casino directly to an exchange, and this does not matter what type or which exchange, as a matter of fact,
But there are exchanges that don't accept deposits from casinos and may freeze your fund.
For example, depositing fund to coinbase from gambling websites or making a withdrawal to gambling websites is against there terms.
From
Coinbase Prohibited & Conditional Use Policy:
Unlawful Gambling: Lotteries; bidding fee auctions; sports forecasting or odds making; fantasy sports leagues with cash prizes; internet gaming; contests; sweepstakes; or games of chance that are not sanctioned by a governmental body or regulatory authority.
All you have to do to avoid this is add a few hops and pay your taxes. Easy. They just don't want drug dealers and felons money laundering. If you don't fall under that category then it's not illegal to gamble online.