You don't care with it because you have no choice and you have to comply so that you can get your money. If you won't comply to their KYC implementation, you will let your money sit on them forever so that's why you need to take actions with it.

Why they want our info? same with the exchanges, it is either they are following a strict rule from their country that if ever someone wins a big pot, they have to send reports about that to their gov't including the identity of the winner.