Under the terms of their licensing to run the exchange in the US, Coinbase can't help facilitate online/offshore gambling so if they detect the Bitcoin you're sending receiving is being sent to/received from sports books, they can ban your account. Not a common occurrence, but has happened.
I also heard of people receiving tax paperwork from Coinbase, meaning they submitted your transaction(s) to the IRS. Someone I know was an early investor in Bitcoin, and was moving various sums each month thru Coinbase to cash some out, and then started getting the paperwork.
Also look up "Prohibited Use" under your user agreement at www.coinbase.com/legal.......
ALWAYS, ALWAYS use a wallet between coinbase and a sportsbook. But a lot of people don't.