There are decentralized gambling platforms as well that does not require for KYC, i think they can be the best to be used in achieving something about privacy or being anonymous in using a gambling platform, just that most gamblers were too used to the KYC casinos, i don't think if casinos wallet in general terms were all not anonymous wallets that we can use for our privacy or we should go far away from them.
But these decentralized gambling platform does not have a license to operate making our funds somehow more risk of losing, or the gambling platform running away with our funds or not allowing anyone to withdraw.
Enjoying privacy by playing on an unregistered platform or decentralized platform that is not "operating legally" may give us more trouble. So better be careful when choosing to play in unregistered decentralized gambling platform. Who knows when they will turn rogue and run with our money?
Anyway, whether the casino is known or anonymous, self exclusion can be done by anyone by simply quitting gambling and avoiding them for a certain period of time. There is no need to lock our fund, it is more on self-discipline and control.
If you will avail such service, you really have to consider the reputation of the decentralized platform.
Because those staking days, they got a hold of your tokens/funds, so you can't do anything if something goes wrong in their site.
Some licensed casinos though are offering such feature, but if you are very determined with this move, you can already implement it on yourself.