Is this the reason why you think some countries ban gambling because it's less ethical? Because, I don't think so.
They have complete different reasons not because it's less ethical, but it's most probably because a lot of people lost control of their habits and that gambling was associated with syndicates and crime. But if you come to think of it, gambling isn't really an unethical activity as long as you're spending your own money without having to obtain money illegally to sustain your gambling needs. Some countries strongly believed that the effects on gambling may contribute greatly on the number of crimes happened in their places.