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This is really the main concern on why casinos like Rollbit discourage to use VPN since they don't want people to violate this matter.
I don't also think that this issue has something to do with VPN usage. But rather maybe Rollbit detect something and think about there's multi accounting happened that's why that issue exist. If it happen that someone stole his information then I guess that might give him a problem, especially that he can use it on other site that will ask a KYC verification. But let see how this issue end up and looking forward to see good action and he confirm that everything is fine after Rollbit solve his issue.
Since Rollbit is one of the official casinos that has clear legality, they have a security system to detect suspicious activity, such as the use of multiple accounts from one device or inconsistent locations due to VPN use. And although the use of VPN is not always the main cause, to anticipate abuse, such as the creation of multiple accounts or identity theft, the use of VPNs must be prohibited by the casino.
So I agree that the best solution is to wait for the verification process from Rollbit and avoid using VPN when accessing this kind of site if it is not really necessary.