Everyone wants to protect their privacy in everything they do, including gambling. Crypto allows us to do that, although some casinos may now require KYC, which can be uncomfortable for some.
It's perfectly natural to feel uneasy if our every activity is constantly monitored by the government or relevant agencies, especially if gambling is prohibited. So, we choose options that protect our privacy as much as possible, especially regarding transactions.
Yes, it is true that crypto guarantees one's privacy while using it, but these days, government policy warrants that casinos do so to make sure they have details and information of people who play on their platform. If not for such policies, I believe casinos would not bother about demanding for kyc, as that alone is an expense for them, but they have their own ways of fishing out defaulters and cheaters from their system before the advent of government kyc.
There will always be ways to detect users, and governments have all the tools at their disposal, especially those in positions of authority. They will certainly do whatever they believe will benefit them.
I agree with Dan, that if there were no KYC policy, I think casinos would also make it easier for their users to do so. They certainly know that most users are reluctant to undergo KYC. However, they must also continue operating, and one of the things they must do is implement this policy.