I don't see the problem if you are a legitimate user and you don't use the exchange to hide money from your goverment.
What is it to some goverment into my moneyz?

Well if you have incomes and properties you have to declare them and pay taxes. You could have an undelcared incomes and hide them in an exchange. Then you can trade and get profits and you must declare it if you don't you could be charged as tax evader so you would like to stay anonimous and do not verify and show your identity to any exchange that claims to be compliance with KYC/AML laws.