There is absolutely no positive side and only countless negative ones. So in other words, the risks are not justified.
I prefer legal, regulated casinos.
In some conditions, even legal casinos still have loopholes to cheat you. Legal casinos with minimal security can also put you at risk of being robbed. So in my opinion, underground gambling is much riskier and should be avoided. I agree that underground gambling has a lot of spotlight in various film genres, especially those with mafia or gangster themes. But in the real world, underground gambling is not a place where you can negotiate and do cool things like in the movies you watch. On the contrary, underground gambling has a very big risk, such as your money being scammed or robbed, and even worse, you will become a criminal because underground gambling is an illegal act that violates the law.
Legal casinos, if they do shady stuff, can get into very deep legal trouble. They could even lose their license and therefore their entire business.
Illegal, underground casinos do not have any such worries, because they have ways to keep those who are responsible anonymous and free of responsibility.