AML-grade data for as many participants in the economy as possible is probably a pretty high-value item. I suspect it could act as a 'get out of jail' card in the case of the OP, and likely that it acts as a 'stay in business' card for other entities (e.g., Mt. Gox.) As others have pointed out, having the data does not mean that it is being given up to the authorities in quantity, but there is simply no way to know. It is a certainty, however, that it is being stored somewhere and Bitcoin related enterprises as a group have an abysmal security record.
Not to mention that most places require AML/CTF/KYC information to be kept for between 5 and 7 years, so even if the entity which collected it goes out of business during that time (highly likely in the case of most Bitcoin ventures) they must still retain that information - how securely they'll store it if they've gone out of business is an interesting question.