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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.
What is the essence of insisting on using a VPN to access a gambling platform that is obviously restricted in your region when you can as well make use of other casinos that are allowed operation in your region. Could it be that the very casino restricted from your region has certain features and games preferences that of interest to the gambler. Because I don't get it why someone will blatantly flag a rule and expect not to face some consequences.
I think many people do this for the added advantage they will get on the casino. Since there are thousands of casinos online, we have the choice to choose the ones that are suitable for us. Some gamblers are just so greedy and want to make every penny from random casinos at one.
I don't really see a need to using casinos that limit me from using their services because not geographical location. Gambling is meant to be fun and sometimes we just have to stick to casinos that enhances our profitability so we don't keep gambling often time without making profits.
I think the problem is as a result of not reading casino terms and conditions.