My dear vaisnava,
Please accept my humble obeisances. All glories to Srila Prabhupada!
Maharaja Yudhisthira was a pure devotee of Lord Krsna. Remember the purpose of the Lord's appearance? To destroy all of the sinful folk who were hurting mother earth. In order for this to happen there had to be a war (the battle of kuruksetra). The gambling match was one of the causes that made this war unpreventable thus fulfilling the Lord's will. Maharaja Yudhisthira was indirectly helping the Lord to fulfill His promise to Bhumi. When one is working in the will of the Lord how can there be a question of sin?
