Possibly reputation risk. Future employers may pass over applicants that worked at gambling companies if they consider it unsavory.
Crime, criminals. Mostly organized crime, but the occasional whack jobs who “just need an edge”. Doesn’t matter where you are in the organizational hierarchy, I’d argue the most at risk are the lowest level employees.
I have no expertise here but I'd guess changes in legislation torpedo'ing the business model is probably a big risk.
All startups are probably way more risky. Law works against gambling. Entire market works against startups.