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.
If the law in our country forbids gambling, then we should be very careful in using a gambling platform that requires kyc, because the government can require for data at anytime form them, i want to believe that to an extent, we still have more other gambling platforms that don't require for kyc and they can be used, government will always threat on this for regulations until the casinos comply to their request and this may not be safe for us.