They may advertise as KYC-free but if you look into their terms and conditions, it is always the opposite. KYC-Free is just a marketing tactic.
As I understand it, casinos have to legally check who they give (large sums of) money. Otherwise they could get into big trouble with regulators when they are asked for a paper trail. It has to do with anti money-laundering and anti terrorist-funding. It would make sense for them to only do KYC for accounts that withdraw large amounts of profit rather than every account. Less work for them.
Why not just do KYC beforehand?
Some casinos would gladly accept offering non-KYC services. But they are forced to ask for identification because of government regulations. The government sees the casinos as a channel for money laundering and terrorist financing. Casinos also asked for KYC to avoid cheating and misuse of bonuses and other privileges. I doubt if there are any registered or licensed non-KYC casinos available in my location. Any gambler who wants to have a hassle-free gambling experience should just be ready for KYC.