Casinos reward players for playing. These rewards typically include cash back, free play, rooms, food, show/event tickets, and as many other goodies as a marketing director can imagine. I’ve received gift cards, spa treatments, cruises, shopping sprees, trips, and discounts on a variety of things.
Once you’ve received these rewards, for the most part you can use them as you see fit, including redeem them, ignore them, give them to family and friends, and, sometimes, sell them. If you’ve received a logo jacket, for example, and choose to sell it on eBay, no casino executive will object to this.
If the casino has offered you a hotel room, and you give this room away, again there’s no problem. But if you sell the room, and the casino discovers this, you may well be punished. Each casino has its own way of bringing players into line, but you usually will receive a warning before the casino takes any action.
If you continue selling rooms after the casino tells you that it’s not allowed, the casino will “solve” the problem by not giving you free rooms anymore — and maybe kicking you out altogether.
I can see the casino’s point of view on this. After all, selling rooms is one of their income streams, and if they can sell the room instead of giving it away for free, it helps their bottom line.
I can also see the player’s point of view on this. If a casino “gives” you something, you should be able to do whatever you want with it. It’s hard enough to beat the casino. Adding a few extra bucks from selling something the casino gives you makes it easier to win. Or at least lose less.
While I haven’t sold any comped rooms for several years, if I were to do it again, I’d try to do it in a way that would maximize my chances of being successful at it.
First of all, I wouldn’t go through a host. My host knows my preferences — perhaps one bed, no smoking, high floor, near elevator — whatever. If I all of a sudden I want two beds in a smoking room, the host is going to be asking questions. I could say it’s for my brother-in-law, and that would fly once. But if I tried it several more times, each time with a different set of room requests, the host may get suspicious. While the host is your “friend,” of sorts, the casino signs her paycheck.
So, after the reservation is made, go though the front desk to make the changes in the “smoking or not” kind of requests. To the front desk, you’re just a name. To your host, you’re quite a bit more than that. Casinos identify you by what kind of games you play, what stakes, what frequency of play, what your win-loss numbers are, and a variety of other things. All this data is part of how your host knows you.
Second, if I get a comped room and sell it to somebody, I’d play some that weekend. It doesn’t have to be a lot. But no play at all waives a red flag.
Third, I’d be discreet about it. I wouldn’t post an ad that offers discounted rooms to the such-and-such casino. Those ads might well be seen by somebody who works at the casino, and it could lead to it being investigated. Once somebody who works at the casino tries to “buy” such a discounted room, they’d find out that I was behind it — and the cat would be out of the bag. No thanks.
Fourth, I’d spread it around to several casinos if I had potential comped rooms at more than one place. Each time one does this is a risk. Doing it at several casinos rather than just one dilutes that risk a bit.

Years ago there was a flury of discussion on LVA about how folks took the Free Play or other freebies that came with the room comp(s), hopping around town to take advantage of multiple offers during a weekend, etc. Some went to the trouble to make the room look stayed in. Others didn’t bother.
Too much trouble for little gain, IMHO. But, each to his own.
Candy
I meant to include in my response that folks would take the Free Play etc. but not stay and play at the particular hotel casino, just go in, register to have the goodies loaded to the account, then play long enough to run through the Free Play and move on to the next place where comps were offered. There was discussion whether this was honorable, ethical, classy, honest. Did previous play/losses justify handling offers this way, or was it expected (yes, of course it was) that the player would bring in more/donate/lose more to the establishment.
I always thought the casino gave you a free room to entice you to stay and gamble at their casino, not to allow you to start your own Air BnB on their property.