No - only if you don't want to use that exchange, casino; or if you only want to try it with very small fund. Hence, there is no reason to sacrifice your privacy with KYC.
Yes - if you want to use that exchange, casino with kind of big fund. KYC completion first is a good way of avoiding hassle later. Surely you can not be sure that will whether that company will pull any card against you in future, but at least you prepare KYC completion as one of your protection things.

It depends mainly on your purposes and plans on what you want to do with your fund.