Would using an intermediary wallet to receive gambling funds be the solution?
A temporary solution it will be actually but not one which you can always count on. In other to avoid restrictions and not allowing your account getting some reputation that will affect your funds and this is why exchanges should be used for the purpose of changing and trading of crypto assets, other third party services shouldn't be carried out often on exchanges, particularly the ones they mentioned in their terms, for funding of your gambling wallets, you can always do that from a non custodial wallet too and save your self the hitch that comes with the exchanges. These wallet sometimes charges even cheaper fees as compared to the fees exchanges do charge, so they are a better option.
I agree because diverting to intermediary will not still be of any solution to him because the person might still be using the same exchange as him, so the process whereby the intermediary is found on the same prohibited act they would still issued the same warning to the him because there rules will not have exception on him so he should just do what the exchange rules says, however to even think of it if an exchange prohibited it how would they even no that there user has transferred funds to the online gambling since those transfer are mostly done through wallet and we no that it could be difficult locating weather the wallet comes from a non custodian or online gambling site.