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.
That's why it's important that you should be careful and consider things, like on this scenario, definitely the casino might receive a notification or warning that a player from restricted country tried to access the site, they might tag your account as suspicious and therefore even though you told them you were on vacation, the only things to prove it is to submit your KYC, it's also important to know if they do allow VPN since most sites I know doesn't allow that since many users from restricted country tries to access their site which is against their ToS.