To make it even weirder you can self-ban yourself statewide from casinos in most states that allow gambling. It is actually a crime for you to go back in[1]. Not sure what the punishment is.
Oh, you want to know the punishments for willingly breaking responsible gambling rules?
Huge fines, potentially followed by loss of license.
You do not want to go there. With the elevated scrutiny on gambling operators (triggered in part by the US opening up, in part by the increased competition, and in part by the receding margins) all the regulators are itching to make examples out of suitable villains.
Disclosure: I work for a [UK] gambling company and deal with compliance matters on an almost daily basis.
An interesting question to be honest. I'd somehow expect any prosecution to be far too complex for the parties to enjoy court.
Sure, you excluded yourself but then went to the casino after all. Did you do that because addiction caused you to misjudge the risks? Did you go there with the intention of defrauding the casino when you lost money? (Gambling establishments that fail to prevent self-excluded customers will have to refund their losses. And if they do that only after regulators get involved, there will be fines on top.)
Proving the nature of intent for that kind of violation could be very messy indeed.
Worse; they're subject to the public's opinion. A player says "They're throwing me out because I won too much! Go someplace else! These guys are bad sports!" and they may lose business. They have to have something obvious and convincing on a person, especially if that person is well-known.
[1]http://m.startribune.com/gambling-problem-states-let-you-ban...