Why the fuck would it be illegal? you are not doing something wrong, at least no if you are not going to the streets to steal in order to get money for gambling (most thieves are always doing this)
But no, if you are not doing anything wrong, then i dont know why it would be a serious problem, seriously.
And i know some countries in where gambling might be considered "illegal" just like in North Korea, but no one in here lives in there, it is almost impossible to join that country.
So no, there is no need to worry about.
Yes it is not wrong about it, but some country banned it because they said it is not money that you earned through some work, it is just based on your luck when you win it like a lot. And there is no way they can ask you to pay the tax because it is like free money to us.
Actually some people might see it like this way, casino will be like thr third party who steal people money and then other people try to claiming it by sacrifice some of his own to get bigger result