Yes, no one will know our data has been leaked, because only they know. Unless they make a mistake that leads to detection and suspicion of a violation (leaking user data). Of course, that's difficult to uncover, and again, you're right that no one will know.
Unless, you are one of those who is submitting your personal info (KYC) to many sites then yes, you wouldn't know that your info is leak. Because if you just submit your KYC for 1 or 2 site you will know your info got leak especially when you received random spam emails, got registered on other sites without you doing it, random calls, etc.
It's actually difficult when it comes to online activities like this. Even if they're well-guarded, it doesn't mean our data will never be leaked. It's possible that even those closest to us could be compromised by hackers.
In my country, some time ago, news broke about a personal data breach at an agency that manages personal data. Initially, they denied it, but then officially announced that the news was true. So, it's not just casinos; KYC is required everywhere, even by our own government.