I dont think it is a big issue, I've done it in several different casinos and there is no single issue when it comes to KYC although I use VPN most of the time. As long as we use VPN is not to bypass country restriction and as long as the casino is allowing us to use VPN to bypass providers restriction, we are good to go.
If the casino allows VPN and if you don't use VPN to bypass their restriction on your original location /country, you will not have problems with them.
Using VPN to bypass geolocation restrictions that are written clearly in a casino's ToS definitely results in big issues on your account and fund inside that account later. It's a risky practice and if you are not a cheater, I believe that you see this practice does not worth trying. Money is valuable, hard to earn so taking risk while you clearly know about bad consequence, is not wisely.
I believe it's ok to use VPN if your purpose is only to bypass your ISP restriction. I've also done it before where I can't access the gambling website because my ISP is blocking it. I asked my friend who have different internet provider if he can access the website and he said it's working on his side. I thought of using a VPN to see if I will be able to access it. I connected on the same country I'm residing using the vpn then it fixed my problem.
Using VPN can only be an issue if you are always connecting to a different country when playing on that gambling website. If the system detects it, they could lock your account and investigate for malicious activity.