No. It was anonymous at step 3, but when you buy BTC on exchange, the exchange can link the BTC you withdraw to your exchange account.
If you want to buy something anonymously, do steps 1-3 and buy it with DASH.
Thank you

----------------
However, how to enable darksend?
In my wallet, it shows as "disabled", although i have set "darksend rounds" to "3".
(i have 0 dash, if it matters ?)