It honestly depends on you and your personal risk appetite; as you're obviously going to be getting various opinions concerning this. If you're willing to take all the hassle for better privacy(which is definitely a good idea), then go with it. On the other hand, if you pay your taxes and such and keep most or all things transparent, then I personally think it would be fine. Unfortunately sometimes KYC is necessary. It's just that you shouldn't randomly throw in your documents on multiple platforms. If I personally was on the US, I'd probably just only submit to Coinbase Pro and nothing else.

^I'm pretty sure it's going to be quite controversial, but whatever.