Using VPN is not bad if the casino accept it but if they against using VPN, I will again advice you not to use it because it is equivalent to losing your money when they found out that you use VPN to bypass the protocol of the Casino. But if you can make your withdrawal on time. It is your luck. But avoid using VPN in a casino that against it.
It should be if you read the ToS carefully it is already written whether VPNs are banned or not and some countries are indeed banned because Gambling is illegal.
So the main reference is in the Regulation and can be clearly seen in the ToS before playing.
I once played at a new casino that after I checked that the casino banned some countries such as asian countries and including my country.
But I asked the developer if I could play even if it was in a banned jurisdiction, and then I got a private message that I could use a VPN if I wanted to play and that was fine.
So actually it depends on the policy of each casino whether you can use a VPN freely or not, it is necessary to ask directly.