No I don't have to participate.
I was naive once to put my coins on a shady exchange, I won't be naive twice to send my documents to some unknown company registered in panama or something like this with a capital of 100 pounds.
What I can do is contact a lawyer and I will only send them my documents if the court of law will decide I have to.
You can simply contact the US government. They have like 45% of btc-e's funds now. Just provide them with necessary documents and I'm sure you can receive back what is rightfully yours.