If online sites were forced to have their software audited to be provably fair, at least something could be done to protect the players.
As of now you are basically giving money to a business, hoping they aren't cheating you, and hoping they pay you when you win.
That doesn't even begin to get into the subject of the amount of tax that would be generated and the good things that could be done with this money.
(A whole separate reason to regulate online gaming.)
It also brings in questions like how often would you recommend that the sites be regulated and by whom should they be regulated, will you even trust the regulators?
Even if you are gambling on the slots at a casino how do you know they are set to the correct payout percentage?