Both have their pros and cons, at the moment I am currently playing on a decentralized gambling site, the cons I see using their service is you need to undergo KYC anytime which means giving your privacy to them and you need to trust their not to be compromised as they hold your funds, the pros I see here is fast betting transaction and lower fees compared to decentralized one.

Now, in regards with decentralized, what I like here is their transparency and you are in control of your funds unlike in centralized that you need to deposit to them your money and who knows if you're be able to withdraw it or not, the risk I see here is the bugs or exploits in the code and each transactions you need to pay a fee (depends, sometimes it's high and sometimes it's low)  and it's way slower than centralized one.

Personally I use decentralized as I'm not afraid of losing what I deposit since it's not that big and I don't want to trouble myself with so much transactions or slow transactions since I only have small bankroll.