Could you please point out a couple of centralized crypto exchanges that accepted money from gambling/gambling sites? I have checked out terms of service of about 6-7 crypto exchanges and all of them have a clause prohibiting anything to do with gambling. With time, I think it's going to get harder cashing out from online casinos even when they keep saying they are AML compliant.
I have just checked Bybit and MEXC ToS and I did not see gambling. Maybe you can go through both. I have deposited directly from gambling sites to exchanges directly several times and nothing happened. The exchanges people complained about that I know is Coinbase and one other exchange but which I did not remember.
Edit:
Although, not bad to first send it to a wallet. I think it is better like that. Especially, if you are not ready to read their ToS to know if they support coins from gambling sites.