As such there are no such penalties for underage gambling(because legal actions can't be taken against a minor).
But yes parents might suffer because of this problem, If a minor get caught while gambling the parents will be held responsible for it and then legal actions may be taken against them.
Their license can can be canceled in worst cases.
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The law varies by state. In NJ if an underage individual is caught gambling they will be fined anywhere from $500 to $1000 and their driver's license will be suspended for six months.