In this situation, if I were to be you, whether or not I'll give him/her the money would depend on a few things. If I've warned or advised him before about his addiction and yet he refused, then there's not a single way I'll give him the money, but if we've never had any conversation before about his addiction for gambling, then I might give him the money, depending on how my relationship is with him, and then use that medium to advice him, and if such a thing happens afterwards, I definitely won't even respond to him.
You're right, because if you keep on borrowing them money whenever they get into gambling problems, they may automatically see you as a reliable backup source of funds, so they may really not consider being careful or reducing how often they gamble. But when you show them that even if they are family, that you'll not be accessible whenever they fuck up due to their gambling addiction, they'll think twice before allowing their gambling addiction get them into financial problems. It's always important to set some boundaries, even for family members, else you'll simply be used.