It's an interesting concept, but I'm not sure it solves the problems of centralization. It is possible that transactions "withdrawing" coins from the Mercury statechain are identifiable due to specific nlocktimes or other parameters. And even if they are not identifiable, then the UTXO in question still has a transaction history which can be traced as normal, including any involvement in coinjoin transactions, for example. Although the Mercury wallet obviously breaks the link between coins and an individual, it doesn't break the link between coins and their history, as is the case for coinjoins or mixers.

If exchanges are banning coinjoined coins, they don't care (or maybe won't be able to tell in Mercury's case) if the coins were coinjoined by me or were coinjoined by someone else before being transferred to me. Either way, my account is being locked.