There is almost no difference if the gambling site does not allow withdrawals before the confirmation. In this case if the user use double spending then there will will have no benefit of the user. But in this case there must have option not to allow any more deposit before confirming the first deposit.
There is actually a big difference if the casino has no restriction on withdrawals which deposit is unconfirmed. Imagine if a player wins with their unconfirmed transaction, and they'd be able to freely withdraw said winnings. This player could also try to double spend the same UTXO with a much higher fee so it will likely confirm first making the previous transaction invalid.