Exchange-rate risk is that the value of your casino balance in euros changes without your having played a single round. A hundred euros held in bitcoin or ethereum can be ninety or a hundred and ten a week later.
Two places where it bites
While playing. If you hold the balance in a volatile coin, you are really playing two games at once. Over a longer session the rate movement can exceed the effect of the house edge many times over — in both directions.
While waiting for a withdrawal. A win that was a hundred euros at the moment of the request can be ninety-five three hours later. A fast withdrawal is therefore not only convenience but also risk management — see the fast-withdrawal list.
How to avoid it
Hold the balance in a stablecoin. USDT and USDC are pegged to the dollar, so the value holds. For an Estonian player a small euro–dollar rate remains, but it is many times smaller than bitcoin's swing.
The bonus calculation changes too
If the wagering requirement is stated in dollars and your balance is in a coin, the target moves with the rate. With a stablecoin the requirement is a fixed number.
The tax aspect
A gain arising from exchanging crypto-assets is taxable in Estonia and that is a separate matter from a gambling win. If in doubt, consult a tax adviser — see also the crypto payments page.