Using third-party services from within wallets is usually a bad idea. If you ever want to exchange your assets to another, you should either use a centralized exchange, and if you are not a fan of that, you should use decentralized swaps and platforms that are at least reputable and makes the swaps easy and quick without any hassle for you.
I am asking for help and advice on where to go - which regulator I can file a complaint against this scam exchanger
I don't think there is anywhere you can file your complaint other than the local authorities in your region and that might only help if you are from a region that supports the use of Bitcoin and cryptocurrencies because only then they are going to investigate the case and they can even reach out to the casino support and investigate about the case. All that is only worth it if the amount in question is pretty big, if it's not, you are only going to waste your time and maybe some more money.