Thankfully I live in a nation that doesn't really have a horrible internet connection, it’s not the greatest neither, there are places with x10 better internet than me, but these days we are reaching to a point where it's uselessly fast, and I am gambling just fine even with VPN on.
And I contribute to the idea that I do not want to be tracked, sure I am not from a restricted nation, it's allowed for me to gamble here, but even with that if I can avoid being tracked, that is added bonus for me. Obviously there is a threat of KYC if something goes wrong, but in that case I would only be able to just come clean about using VPN to join, not sure if that would create a problem.
and of course VPN will create problems, imagine the following:
you create an account at a casino, your country is not on the list of restricted countries but it happens that you have always used VPN since the day you created an account at the casino and one day you earn a lot of money and the casino asked for KYC, you deliver KYC but in the proof of residency appears in your real country and the IP record in your casino account says that you are in another country, so the casino will not pay you anything, they are not even obligated to pay you because in the TOS of all casinos they are clear: you must give real information and when they talk about giving real information they are including that you must enter the real country casino, even if you talk about VPN the casino is not obligated to understand your story they will just comply with their TOS
Many use VPN for the same purpose that they don't want to get tracked because you know how risky it could be if some authorities keep track of your activities and they could put pressure on you afterwards for many reasons so it's better to use these services and play over casino and many regions don't have gambling restrictions and you can play without VPN also but yes to bump your IP you can do the same.
with all casinos operating under license and governments pressuring them to require all casinos to ask for KYC so using VPN is not good, you put yourself in a position where you can lose all your money the day you are asked for KYC