have you played in this kind of underground gambling den before?
No, because underground gambling has no regulations and you will get scammed 100% of the time. And maybe worse, robbed or kidnapped.
Underground gambling is glorified in movies and shows but the reality is you are surrounding yourself with shady figures who are trying to get your money from you while making it look like you are indulging yourself in regular gambling activities.
It is best to stick to regulated, legal casinos.
Well, it depends on how you look at it. These sites abound in China, and the passion for gambling is so great that Macau is the Vegas of Asia. So, its prohibition is a very cosmetic thing. In any case, illegal gambling is everywhere, and in places many don't suspect, like New York, etc., these clandestine sites exist everywhere; clandestine poker games are organized everywhere, etc.
So that phrase you mention, "It is best to stick to regulated, legal casinos," is like the one on cigarette packs: "don't smoke, it's harmful/cancerous"