The thing is, you are already not allowed, you are doing something illegal. Let's say you are from a nation that is not allowed to play here, and then you managed to get in and gambled, whatever happens after that is your own responsibility and you should not be blaming anyone else for it.
If the casino keeps your money and doesn't give it back to you, that means they are keeping it until the government (or cops or whoever does this) asks for it, and that is understandable. Legally they are forced to give that to the authority that asks for it, and they will do it, if they try not to, that will end up very bad for them as well but they can keep it away from you because you did something illegal and giving it back to you would be illegal of them as well. Long story short, if you gamble from an illegal nation, that means you are taking all the risks with it.
Well, the idea is that if there is a certain nation that is not allowed, then maybe close that? Such as if you are a person from that nation and you go to this website, from IP or from something else (I don't know these things work) website should tell you "hey you are from x nation and it is illegal to play here from x nation" and not allow you. In that case if you still decide to gamble and use a VPN or start a brand new VPS just to gamble, then it is all on you I agree with that.
However if you can go there from a nation that is not allowed, and only after you gamble a bit that you are caught, that feels like maybe something could have been done about that. That is of course just an idea, the better option is people from not allowed nations not playing here at all, that would be a smarter idea and what people should be doing from the start.