Even if you keep on playing through VPN on gambling sites and not getting banned or something like that, it does not mean that you will keep on playing forever. Someday if you get caught, the gambling site will ban you and you will lose all the balance on that site.
The best approach is first to check with the gambling site if they allow VPN or not. If VPN is allowed on the gambling site then you can play using VPN else better avoid using it.
You can also get this information about VPN usage on the terms and conditions page on the casino's web site.
Some gamblers use the option of vpn to play the same game with different user name.Actually to my opinion it’s not the good one,we should not take the chance of the other people.Instead you can ask your brothers or sisters to play the gambling along with you.If they win also leads to the chance of money get into to your family pocket.
Mostly the website itself find the VPN usage and block the account.Some gamblers will enjoy to play using the VPN and earn more win from it.But as you said,if any had their huge winnings in the website.After the capture by the website owners,the entire money which he earned will be loss.The website will block the withdraw along with the ban their account.So try to play the gambling with some ethics in order to avoid such ban.