I would avoid using VPN with casinos or even crypto exchanges. It might raise red flags that lead to difficulties when trying to withdraw. After all, the casinos are required by law to make sure that nobody from forbidden countries is playing and withdrawing their winnings.
If gamblers from restricted countries get caught, they will have to forfeit their account and their winnings.
And if the gamblers are from non-restricted countries, but they use a VPN, then that just might lead to them having to wait a long time before they can use their account or withdraw winnings while the casino is checking their KYC documents.
There are many gamblers who do not heed the rules applied by each casino so that when problems arise they relatively blame the casino even though they are the ones who violate the rules applied. Using a VPN is certainly not a good thing for gambling because every casino has very strict rules at this time so if the violation is known then the account can be banned and lose a lot of money because of a small mistake.
I think for newcomers to crypto casinos, if the casino cannot be accessed with the network where you live then leave the casino because using a VPN will be more dangerous for the safety of your account at some point in the future. Big wins are always a concern for casinos, they will see account activity, if there is something strange they will suspend our account. So don't use a VPN to gamble, play wisely.