By your logic, you'll then want to anonymize your coins after withdrawing.  There are some pretty advanced systems out there to link wallets to real identities.  So if you truly believe there is a risk receiving funds from BTC-e, then you have work to do separating yourself from them.  Personally, I don't think individuals are going to be targeted by any 3 letter organizations.  If you can show your deposit to the exchange, then you can prove you are just withdrawing your own money.