No, not in most countries in the EU and UK. But the license the casino uses can have its own restrictions in offering online gambling to certain countries. So, if you experience an IP block when visiting the website, it's probably because you are in a country that the casino can not offer their services too.
Most countries have their own law about paying taxes on casino winnings. If you are not sure of percentage or limits on tax deduction on winnings, please ask your local tax authorities.
Online casinos follow strict rules regarding privacy and age restriction on gambling. To be sure that you are the one you are saying and that you are of authority, they need to collect the necessary data according to their license. If such schemes were not in place, it would be very easy for scammers to create an account in your name, or for people under the age of age to pass through the check.
In principle, you should never use payment information belonging to another person. This may result in you being banned, or not being able to withdraw any winnings without the owner of either card or other payment methods you use, also verifying their identity.