If you live in a country where gambling is legal, the government's main enemy is banning illegal gambling sites, which are inherently unprofitable. However, if you live in a country where gambling is prohibited, it's not that you can't access gambling; you just have to do it in secret.
The government can't control all illegal gambling sites, even though it knows that if the government regulated gambling taxes, it could certainly profit from this industry. However, if a country has laws prohibiting gambling, it can't do anything. All they can do is crack down on known gambling. There may be many more that go undetected.
Regulators in many countries have full control over ISPs, which means they can easily monitor which sites citizens visit. So, I would say that users from countries where gambling is prohibited can access gambling sites not in secret, but by bypassing the rules, using appropriate tools. Even if you're using a VPN, it's not exactly secret.