Not really. Services have their own rights, citizens have their own privacy rights and government can only impose limited restrictions unless a court order is issued which takes months of hearings. These exchanges are just doing it to make their process of dealing with customer complaints easier. They know people like to be anonymous. No court would take a consumers accusation seriously if they can't prove their identity. You can file a case that the exchange has stolen 100 BTC but there is no way they could prove the BTC belonged to them without a KYC.