As long as you don't live in a cave where no one can find you, being sued by multiple US states is something I would consider as a threat. So a license would be desirable if you go for the official route.
If it's possible to find out who is behind the site, so If you linked your company and your site reaches players which are not allowed to gamble/offers them an opportunity to gamble even though they shouldn't you might as well get sued by the states. If your site is offshore and the affiliate programs pay your company (if they care about tax things) then you might be safe.
I want to make clear - I do not run any operations like that and I never did so, neither I plan on doing so. The information I am giving to you here is what I have learned. By no means I want to claim that I am entirely right about what I am writing.
