No one is complaining, it does not make senses to say that no one is interested to deposit in the same address again and again.
If what you say is true, many gamblers would have left any sites that has no features to generate new deposit address. The fact is that there are still so many gamblers do not take it as a big deal.
For gamblers who do like to manage their activity, having 1 deposit address is better because they can how much they have deposited easier. This is a good way to control how much money they have sent to a casino.
Deposit addresses can not protect them with bitcoin transactions if a new address is created from a same wallet that is definitely true. One account will be allocated with one wallet by exchange/ casino. Reuse one address is not good but as panjul07 said there are very little exchanges or casinos allow to change your deposit addresses.
To protect your bitcoin transaction privacy, you can mix your coin (with Bitcoin mixers or CoinJoin transactions) before you make deposits to casino.