Exodus for example, I dont think they collect your info. Let's say a government wanted to give a warrant for them to look into some random dudes wallet. Would they hand the info over or something or what?
If they do not collect info, then they technically cannot link an address to a random dude. Exchanges which requires users to pass KYC process are platforms bitcoin holders should avoid, as they request for vital personal information.
But they can still hand over the IP addresses that were used to access the wallet. I am not sure if they store the IP addresses but they would certainly be having the logs somewhere.
IP addresses are sufficient to get the locality of the person unless he had been using a VPN or something.