This depends on the sport and the market. In most cases (player props in football, basketball, ice hockey, American football, baseball and rugby) the bet is void and the stake is returned. In a Parlay, the voided selection no longer counts towards the total odds and the Parlay is settled on the remaining selections. The bet stands and is settled as lost in two cases:
Outright bets, which are "all in run", so there is no refund if the selection does not take part.
Some cricket markets, such as top batter and top bowler, when the player was named in the starting XI.
What counts as participating differs by sport. Baseball and most football props require the player to be in the starting line-up. In basketball and ice hockey, any time on court or ice with the clock running counts. In football goalscorer and card markets, a substitute who comes on counts.