In fact, if you're winning more than you're losing, you're decreasing the profit of the bookie. You are therefore making it a less worthy venture for them to hold these ethically-negative gambling events. If you were to win enough, the bookie would lose money from the venture, eventually resulting in them no longer hosting gambling events.
So actually, winning money off of bookies is an ethically good behavior, since it's negative feedback for them enabling other gamblers with "uncontrollable behavior" to lose their money.