You have a point here.
If you are using VPN to use a casino in a restrict region and you try to withdrawal large amounts of funds , it might be a problem. This could be a reason for the casino to restrict your withdrawals.
But if you are playing just for fun, not betting large amounts, there isn't much problem and risk.
Withdrawing large sum has been one of the problem why majority of gamblers are having problem with the casinos they think they can bypass with VPN. Many casinos would allow you to use VPN successfully, make deposit, play bets and other things. When you lose, they would allow you to deposit often time and even without often time. When they noticed that you are making profits more than you should, they would start probing you to know if their is something you are not doing right, probably you are using a cheat that must have enhanced your winnings. That is when they would check your location to see if you are committed against their terms and conditions. When they noticed you have used VPN from restricted location, they work freeze your account and ask for KYC because that is when you real location would be exposed.