For online wallets like Xapo, you cannot do on chain gambling with it since they use a different address when sending Bitcoin to another place.
Most desktop wallets allows users to adjust the fees or use floating fees. There isn't much difference between using different clients to reduce fees. However, if you want, choosing a client which supports compressed keys helps to reduce the size very slightly.
Yes, Be careful Coinbase will block you account if it found your coins involved in Gambling or Betting.
You should use Desktop wallet if you want to have full control on your money.
Secondly Even if desktop wallets allows you to adjust the Fee, setting a too low fee is no good for
you as the transaction will always in pending status