while its ostensibly silly that they're holding his money, their investigation is likely just some managers freaking out. They will probably have to pay out at some point... its a licensed business in a developed country, they can't just openly steal a few million from a customer.
Freezing funds in the event of a suspicious win isn't necessarily an indication that they will not be paying out:
http://news.bbc.co.uk/1/hi/uk/4069629.stm
in that case it became apparent that using an electronic device didn't breach out dated uk gambling laws. The casino can't just refuse to pay on the basis that the woman was dodgy etc...
Anyway taking a big hit from a whale is a risk these sorts of small London Casinos are exposed to, its not like they've got big pool of low wage degen's pumping money into slot machines - they're mostly a few rooms in some west end mansion house full of international business types playing table games at high stakes. One whale can seriously dent their profits for the entire year - I'd wager some UK based manager has freaked out at the size of the loss, the woman has probably added further suspicions and the Malaysian owners probably want to conduct an investigation before they pay out anything.