From what I understand, paypal already doesn't allow direct deposits into online gambling sites, hence the redirection to Netteller or some other service.
But not all credit cards ban this right now. I use my credit union card to fund my gaming. No problems. But I suspect that will stop soon.
But as far as penalties I have been reading what is available and there doesn't seem to be penalties to the individuals that are gambling because the wording appears to be trying to block the financial transactions...