While PD is legit and trustworthy, it is still better to withdraw your balance when you are done gambling. Not that I am worried about Stunna run away, but sometimes the site is down and you won't be able to access your bitcoin for a few hours.
No matter how trustworthy they are, you shouldn't trust them with holding your coins. And I'm not saying this just for primedice. People should understand that allowing someone to have access to their private keys means he can virtually go away with your coins at any time, use them for anything, or practice fractional reserve and end up being insolvent (there are more scenarios to mention). Websites should never be considered a safe place to store coins for many reasons. You mention a good reason but it's not the only one. Online and shared wallets should be used solely as a hot wallet. There's no good reason to leave a big balance in then for a long time.