There is no privacy in cryptocurrencies - just read news. We just believe in it, and it is true while you have small sums of money. But if you have big money - your privacy ends very fast. The main advantage of cryptocurrencies - fast and partly anonymous transfers and exchanges. So i don`t think that the KYC is a problem, you share you private information every day, just don`t call it KYC.
There's no privacy if you don't use it properly. Read the news? Bro if you found out about wallets and whatnot in the news, then they clearly made a mistake already. What, do you think anonymous wallets would still be called anonymous if they were featured in the news? They aren't seen because they've done well in remaining unseen.
actually Gambling sites need not to find where their players live because in TOS they have clearly mentioning in which countries are not allowed to play(if there are some) because of the regulations of their government and their restrictions will be added.
and do not blame those site that banned their players who missed reading their rules and restrictions because it is our obligation being gambler to understand everything before depositing and before playing so you'll not facing any issue in your withdrawal .
Address is one way to confirm if you're KYC details match up with, let's say, your ID details and the like. Though I think an ID and some basic form details would be enough, not particularly sure whether address is really asked for sometimes.