If we are talking about ordinary online casinos, then yes, this is a myth, or a scam. In any licensed online casino, you will be asked for a passport through the procedure of withdrawing funds, and if you have not been asked for it, then much likely you won’t receive your money at all. BUT the situation changes in the opposite direction when bitcoin comes into play. Anonymous bitcoin casinos absolutely another case. Since Bitcoin wallets are completely anonymous, when you depositing and withdrawing funds, the casino cannot know your personal data. That is why bitcoin casinos are really anonymous.