I've seen this requirement on several other gaming / betting sites as well:
Remember to do this only from wallets that let you receive coins from the address you sent them from (standard wallet, or blockchain.info wallet, etc).
Just out of curiosity, exactly what kind of wallet would
not let me receive coins on the same address I'm sending from?
Online wallets mostly, or from exchanges like MtGox because there the bitcoins from every user are together in one big wallet.