I went checking the terms and conditions and it is true that they do mention internet gambling as one of the prohibited activities.
Thing is, gambling is allowed in my country of residence.
Plus, the gambling sites I use are big known names, with valid licenses, not shady casinos.
I still don't understand how in a country that legalizes gambling but the exchange platform regulates gambling as one of the prohibited activities.
Maybe the exchange has its own policy to determine the flow of transactions on its platform by excluding the flow of funds from gambling.
If you get a warning of course it is related to a possible violation involving your account. You should be more careful, or maybe you can use another exchange. But it would be better to use a decentralized exchange, using an intermediary wallet will not change everything. because transactions can be traced by everyone.