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

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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 ?)
First you need have some coins...than setup in options how many coins you want anonymised and how many rounds....more rounds cost you more...and start mixing...it will take some time but you will see the progress of it....once it get 100% you can send the coins anonymously by ticking the Darksend