Exchanges will probably not report individual cases involving their users to the police. Those users themselves should be the ones who will initiate legal actions, and the proper authorities acting on it will consequently request vital information from the exchanges by way of a court order most probably. I am not an expert but I think even the police cannot just demand personal information of any user from exchanges. It will have to pass through the courts.
For sure it is going to be a long process to gather information about someone who committed scam.Crypto exchanges are working from different country from the origin of the crime so the powers of police and their investigation varies or they don't even have any control to investigate as well.