There's a regulation that is already functioning for the exchange sites, like in my local exchange,we were required to comply with he KYC Policy and fill up all the information that is necessary. With that rules, we have no choice but to follow and i guess it's just fine because exchange sites are legitimate and they are operating with the license granted by the government.
What I am afraid of to happen, is the time will come that our transaction will be tax..
And that is already implementing here in my country as well.
It's not that they have no choice but it's really a must if a legit company will comply to the rules and regulations under the anti-money laundering act of a certain country since they are involved in money transfers. Just fine with me and I see no wrong if ever some of my information will be on hand.
About the tax, it's already there in a different form. You can obviously see that in their given exchange rates.