I would never gamble in my country physically if it was illegal, also in my country gambling is so far illegal from some years now though most people I see in coffee shops and ex lotto pubs that they keep playing by using alternative links of Bet365 for example, also many of the crypto users like me play in casinos that the state does not know that they exist or are not as popular in the country as to warrant a ban against them. So yes I keep playing in all major casinos and sport bookies that do not have the word "bet" in their name of their website like the casino in my signature or other similar ones. Anyway in the context of the story the person already knew and the fact that he didn't care because he thought he would never get caught, I am not defending him, he should not have wagered near 200 million dollars and think that he would go unnoticed, lots of tax evasion I guess in here.
If gambling is illegal in your country, gambling online won't help you if you get caught. You still have committed illegal acts. If they really want to, they will catch you because most users are not able to hide properly their online activities.
The label "illegal" doesn't stop people from doing whatever is tagged as illegal. Drugs and the like are also illegal in most countries yet people still find a way around it and gambling is no different.
Most gambling sites will still require KYC even if you bypass VPN restrictions as well.. It's a risk anyway if you can bypass all that but all I know is gamblers always find a means to gamble, governments are just spoilers.
You can also pay someone to do KYC for you, so that can be bypassed easily. Something being illegal does not prevent anyone who wants to do it from doing it, you are right. These measures are just annoying because they don't work.