As long as the casino allows you to use VPN in order to access game due to the restriction by the provider, I dont think it will make any issue later because logically the casino is the one who is responsible for it since they allow it.
I've experienced it myself because some of my favorite providers are not available to be played from my original IP such as Relax, Push Gaming, Netent, etc and I use VPN in order to play it in few different casinos.
Of course I have to ask the support of the casino first if it is allowed or not, most of them allow it and there is no issue at all for years now although I did not win much from those providers (maybe the biggest one was around $1k only).
Sometimes it's the game providers that push for the block/ban and not necessarily the casino. Haven't you noticed that in some elaborate terms and conditions of the casino? Different game providers have a list of countries they ban?
Now imagine you bypass the bans through VPN use but then after a huge win, they ask for KYC only for you to present identification documents of a citizen of a banned country. What do you think happens?

Of course I noticed those terms (restricted countries by providers), that's why I cant access some providers and that's why I need to use VPN in order to play it.
As I said previously, once the casino allow me to do it and the casino ask me to undergo KYC because of the big win, I'll do it and the casino should not take it as an issue because they allow me to use VPN to play the providers.
I wont speculate further, but logically the casino is the one who responsible for it since they allow it (some casinos even suggest/recommend users to use VPN) to access those providers.