You already said that gamblers use VPN so they will have the freedom to access the website they won't able to access in their country.
How come the website will be responsible for any legal actions if they allow users from prohibited countries to play? They won't detect it because of the obvious reason that they are using a VPN. There are lots of VPN types and site owners can't reliably detect if those users are using a VPN.
They put that on terms so that users will know that anything related to VPN is not allowed on the site even there's no way a site can confirm it. The only closest thing that site owners can look at is if the account was logged impossibly on different regions in just a short timeframe.
In most cases, it's the gamblers that will face problems if they violate the rules of a casino, so if you are gambling especially with a decent amount of money. Just try not to cheat by using a VPN just for the site to allow you because they detected a masked IP, eventually, you'll get caught and your money will be freeze.
That's usually what we saw in some of the scam accusations reports, and then gambleres accuse the site of cheating when it was actually them who broke the rules, the sites just made the right action of the violation.