Legally speaking, it's the right thing to do for a casino and you as a user, if you are not wanted in the casino, then why are you using it for starters?
If a casino blocks your funds after discovering that you are from a restricted region, will you blame them?
I know most players would blame the casino. But they know that they are at fault, not the casino. The user must check if they are from a restricted region. Just because they can bypass the restrictions by using a VPN does not mean they are allowed to play there.
VPN detection is also possible in some sites, so don't think just because you are using a VPN, they may not know. They can. There is also another layer which is KYC verification. The day you are asked for KYC verification is when you realize that you are going to be busted. Your location on the KYC documents will completely be different from that of your IP logs. What explanation will you give them?
Exactly. Spinly can also detect VPN usage. I know this because they said that a feature "Goblet" won't be available if you access their website using a VPN. It is proof that they can detect a VPN. As for KYC, I don't think the player would have any logical explanation once they get caught. In most cases, the users yells and refuse to complete the KYC because they know they are going to be busted.