IMHO if you live in a restricted country and made some deposit, Casino must give your deposit back. Casnio can look at your profit and loss history (if you have played before and cashed out) and decide how much deposit they should give you back if you are down.
Everything depends on the terms of the casino, there is no "must" or "should" in this case because it will be dangerous for the casino if the casino should give the deposit back to the players who break the terms.
If casinos should, many players from restricted countries will try to abuse the terms by making deposit then play. If they win and they are able to withdraw then it will be benefits for the abusers but if they lost then the refund policy (if it is must as what you said) will also a benefit for the abusers.
I will not say casinos must or should give refund, but the best thing is to have good communication with the players on how to deal with the situation.
Yes? And what about shuffle operating in Brazil against local regulations? Check portuguese chat .. no Single portuguese, only Brazilians.... What's the point? Shuffle don't care ....