Yes you can leave the exchange (after your problem is resolved) if they make it difficult for you to withdraw your own funds. If you don't want KYC, then you can't sue for anything because you can't comply with their policies.

But I think your actions are too bold, I read this thread from the start. What makes you confident that HitBTC employees are not hanging around here? You offer someone else to do KYC for you and then you change your mind about asking your friend to do it.