why didn't they just build their own casino?

I thought their advantages over the NCR were pretty obvious: having one guy control everything meant that there was zero corruption and shit gets done fast.
>b-but muh slavery!
If anything, slavery is just another logistical advantage they have over the NCR, who has to waste resources paying people to not even do the job they were paid for in the first place, like with Helios One. From a purely objective standpoint, slavery is a good thing for the Legion.