There are DEX out there that don't need KYC before you use them because they are decentralized exchange so it's not nearly all the exchanges that are Centralized. I believe that all reputable casinos asks their customers for KYC and your data might be safe with them because they know that it is confidential.
I feel safe using a reputable casino with KYC and a casino that just pop up from nowhere amd claim to be a No KYC casino.
We really can't compare Dex with the casino world. Both are different from each other, and both business models are different. Casino-like centralised exchange, because it is controlled by a centralised authority. It seems you don't have issues with KYC if the casino is reputable. Gamblers or crypto users don't want to provide KYC to third parties due to data breaches. Otherwise, most people won't worry about submitting their KYC. You will be surprised; even government organisations sometimes sell people KYC for money. So it's hard to trust anyone.
However, due to many reasons, casinos ask for KYC. If they don't take a licence and run without any documentation, then they probably could even run a casino without asking for KYC. Casinos often have to follow the rules when they are licensed. They have to comply with that. So I will agree if the casino is reputable, there won't be an issue for KYC, but don't encourage using KYC casinos. Just find a reputable no-KYC casino.