Gamblers here is provably aware on the consequences brought up using VPN that's why I guess there's only few people use that especially if they know the casino is not VPN friendly.
Most casinos are VPN friendly but when it comes to KYC Most of them often make that VPN connection as an excuse to freeze funds of the players. I believe one should keep that in mind and only use VPN on casinos that clearly state in their terms and conditions that using of VPN is fully allowed and there won't be any obligations if someone uses a VPN to use the site.