One explanation could be that alcohol advertising is seen as part of cultural norms. Its harm is well known, but often ignored. People justify alcohol with traditions, rituals, and the idea that “it’s better to drink than to use drugs.”
Gambling, however, has often been condemned historically.

That being said, I really think it depends on a country. In my country, gambling is legal, and there are ads of casinos, slots, and stuff like that pretty much everywhere. Alcohol is also legal, but its advertising is seriously restricted, so it's actually very uncommon to see alcohol ads these days.

In my view, both gambling and alcohol can be okay in moderation but lead to issues in case of overuse. But alcohol also has a direct negative impact on one's physical and mental health, can make a person aggressive and problematic to others as well.