What is the real risk difference between Crypto Casinos with No KYC requirements and standard sites with Instant Pay N Play verification?

I value my privacy, but I also worry about getting stiffed on a withdrawal if the site just decides to lock my account. The Pay N Play sites are super fast, but they link directly to my bank identity. Does the anonymity of the crypto sites outweigh the safety of the more regulated instant banking ones? I am curious if anyone has had horror stories with withdrawals on either side.