I have often thought the same of guys like this. Ed Thorp, who was the first to write about card counting in blackjack, eventually took his math skills to the markets and made hundreds of millions of dollars. Bill Benter, arguably the world's most successful horse race bettor, has also created a nine figure net worth by betting into horse racing pools - i.e. not playing against the house, but against other players, in a very scalable way.

So it isn't just the money that motivates people like Grosjean to personally show up to dark casinos, often in the middle of nowhere, to take on the house. As you said, his earning potential would be far greater in other venues. I've met a few of these people, and while some just like "easy" money, many of them view casinos as thieving, malevolent enemies that need to be beaten by someone. The fact that they can make money at it is almost secondary.