Well, it is all about greed that drives something like this "terrible illusion." Why? Because when a person thinks about money and winning at the casino, all the things that appear in their mind are about winning. And they will do anything to make it happen. Unfortunately, casinos don't allow it. Instead, casinos make use of it to make these greedy gamblers lose more.
As long as we've been driven by greed, there's no way to find satisfaction and happiness in gambling. Instead, this will easily put us into the trap of addiction.
The worst thing that can happen to an inexperienced gambler is when he or she thinks that they can beat the house or that they can win a heavy amount from the house when the house didn't allow it. Winning is by luck and who ever don't know that yet is being deceived by something that they might regret about later on. One don't need to have illusion in gambling except they want to lose everything they have. It's better to have self control and know the truth about gambling.
Probably, the principle of deceiving expectations works here. An ordinary guy just goes to a casino with his friend and just wants to have a fun time. He thinks "I'll make a couple of bets and most likely lose" and he places a couple of bets, but wins. He doesn't believe it and, for fun, places another bet, not expecting to win. But a bigger bet. And wins again. And this couple of lucky moments gives him a lot to think about. He begins to compare this experience to what it would be like if he had bet 100x more...