I would say VPN is not as dangerous as you make it out to be, it is just normal because casinos are banned in my nation so I have to use vpn, otherwise I wouldn't be able to gamble at all. Of course it is dangerous but what is gambling if not doing something dangerous?
The problem is this:
Many platforms (exchanges, gambling casinos, ...) explicitly prohibit the use of VPNs in their Terms of Use. This is not a big deal for gamers, you can still use the services via VPN.
But now imagine you are extremely lucky and win 2 BTC and want to withdraw them. With such sums, manual checks are usually in play where it is then also immediately found out that you are using a VPN. The withdrawal process is then blocked and your user is banned.
This is unpleasant for casinos, but not too tragic, since you have probably only invested a small amount of your own money. But imagine that with an exchange, where you can no longer withdraw your hard-earned BTC ...
There is nothing wrong if you use VPN on casinos. I haven't seen casinos that restrict VPN usage but the reason why some people get banned for using them is that they use the VPN that has shared IP. When IP is shared, it means that there is the possibility that someone with that IP was already using your targeted casino. So, in this case you have to use VPN with dedicated IP and then you can feel secure, none casino will lock your account because this is the exclusive IP that you carry.
To be 100% sure, you can always ask Casino whether they allow you to use VPN or not. In 99% cases, you'll get answer that it depends on you and there is zero problem from their side. By the way, they won't recommend, nor will prohibit to use.