A VPN also allows you to bypass local censorship and blocks, so you can use gambling sites even in countries that restrict them. And, because your internet traffic is encrypted through the VPN tunnel, your activity will be hidden from your ISP - meaning that you can place bets with complete peace of mind.
In general, using a VPN for sports betting and gambling is legal if such an activity is allowed in your country or state. At the same time, the legality of online casinos and lotteries varies, as every country has its own laws and regulations in this regard.