I could be wrong but I don’t bother about KYC. If you have a cold wallet then you will not be attached to it.
It's not really the privacy issue for me as I intend to stay within the law (as much as I despise taxes, I'm not willing to go to jail over them). My issue is that I am not risking my sensitive information with an exchange. Data breaches can and do occur and the last thing I need is to be bogged down by federal and state bureaucracy to fix the issue, protect my identity and fix any damage to my credit score.