I will not register to a casino who send me such message from the website because if if happens in the future my deposit is gone. Though they said the casino is VPN friendly but I don't like using VPN because VPN and KYC are the two major things casinos used in confiscating gamblers accounts. I used a normal browser without addictional enforcement app.
Because VPN can be used for masking your nationality, your real IP addresses but the first purpose is seriously not accepted by casinos. Then by using VPN, you can share IP addresses with other VPN users from a same VPN especially if it is a free VPN account from that provider. It's hard for you as user to defend that such shared IP addresses are not from your multiple accounts which possibly accused by a casino as for cheating purpose.
He is saying his concern, and you are saying how it is playing out, in the end, VPN is so dangerous just as Agbe said it, and this is not new; only novices can still fall a victim. Anything I do online that has to do with my money on a system that is not decentralised are done with my local IP. This is to avoid drama. Many have been victims of casinos due to VPN, and indeed, some casinos might not even know, as it could just be an innocent flag by their system or by some hyperactive bots. I was a victim myself as you can see here:
https://bitcointalk.org/index.php?topic=5576350.msg66471514#msg66471514. What saved me was that I had never deposited or played with that bookie before then.
About physical item distribution, personally I dislike this method because it will need my address for delivery and it will not be good for privacy and anonymity.
I don't know why this is a problem to you when you are only sharing that information in private and not to be seen by too many people beside those responsible for the delivery. There is no need expressing fear of privacy for such things when you can simply use the address of your work place to also receive it if your residential address is too precious to you. I believe you order things online and willingly give out your address which is the same with this, so I don't see much problems in it.
When it comes to privacy, I think you should respect others' opinions. You might think it shabily; others might not. What if the person doesn't have an office address, but only a home address? And if you think physical deliveries are entirely out of risk, especially with online dealings, maybe you should learn from the case attributed to Trezor when there was a third-party customer data breach; in fact, it is still ongoing. Mind you, submitting your physical address comes with other additional details you have to submit, especially your phone number.
This is not to dissuade every physical address delivery, but anyone not willing to take the risk shouldn't be coaxed/persuaded into doing so.