MOST casinos dont have an issue with an affiliate playing via their own links, but this is not universal.
Always be sure to check terms and conditions or you may end up losing your affiliate account and have ALL commissions forfeited.
This actually happened to me after I tested a UK crypotologic casino that I had featured on all my sites. I decided to play there to test the software and they locked up my account and kept all my commissions.
I could have understood if they just refused to pay commission on my play, but no, they took it all and didnt even bother to tell me they were doing so. I ended up wasting a whole month of traffic before I figured out I was kicked out.