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.
From what I learned, some casino doesn't restrict the use of VPN by their customers, in a country where gambling is declared illegal most gamblers will look for those casino that doesn't ban VPN usage and they will continue gambling, while other gamblers will still use VPN on other casino that banned it and will not be caught.