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.
Anyone that tries to bypass restrictions, there is always a prize to pay and such a price could cost the Person their entire career, and money, because at the level that you have finished building your casino account and luckily win a big amount of money, you may be requested to verify your account and at that point, you get stocked since you pass back door to gain access to the casino in the first.