Or what if a player went on a vacation or trip and wanted to play in their casino, obviously the ip address will change. And if the user didn't know that VPN is not allowed and won big money, there's going to be a big problem for that.
In any case, it's the call of the platform to disallow VPN as there are also platform that allow their player to use VPN for privacy. So just be careful for new players, and they should clearly read and understand the TOS.
If you are on vacation, you should not visit an online casino because you will use a different IP. That can make them suspicious and they will investigate it. They may ask you to verify yourself especially when you want to withdraw the money. You will be in trouble so it is better to leave gambling for a while.
Reading the TOS will be necessary to make sure you are clear on the rules. You can stay away from making a mistake and you can playing gambling without worrying.