Another thing that just popped in my head now is, what if after you deposited the Bitcoin because you needed some money and wanted to convert the Bitcoin to Fiat, but you later changed your mind and you decided to withdraw back the money to a newly created address, will the casino report that your address to be flagged?
I don't know about centralized exchanges but online casinos with acceptance of cryptocurrency for deposits, and surely bets, withdrawals, are more cautious with money laundering.
Their common term is if you deposit money to your account on their casino, you must make bets. If you deposit, but make no bet, and submit a withdrawal, they will flag your account with money laundering, and their next action can be asking you for KYC, proof of fund, video verification for example.
Criminals can use online casinos for money laundering with this method but casinos surely know about it and they have term to fight back.