Use both. You are going to need to sell some bitcoin to pay for expenses. So mine directly to coinbase. After all your expenses are paid. Move what you want to save once a month to the trezor.
1) Not everyone pays their mining expenses by selling mined coins.
2) This doesn't address the anonymity issue. I'm sure I'm not the only one here that doesn't want the government to know how much btc I hold. It's none of their business. If, and when, I choose to use/trade/sell -- then I'll route it through a
kyc account -- and they'll know about it. In my country (the U.S.) -- that is the only time there is a tax implication.