Bitbay and or millenium may report you to the local IRS with tour transaction history so what you have to think about is that by making any profit using bitbay and your polish back account you need to file a tax report to IRS
The tax office is called US or Urząd Skarbowy here. Other than that I think it's pretty obvious that if you go through KYC or withdraw the proceeds from selling bitcoins to a bank account, taxes have to be paid if you don't want this sword to hang above your head for the next ~5-6 years...