I don't see how you would have, unless the money you were using was somehow dirty. You actually did the right thing because when you bought from an exchange there was a paper trail for your money up until that point so the government will not be able to create any disputes over hidden wealth. I personally quite like using localbitcoins which is a peer to peer exchange, however it can come with its own set of risks, if you follow their rating system and only trade with people who are very highly rated (99-100%) then you will do just fine. Now I think about it, they have a KYC process too but it didn't exist when I first signed up - it was verified much later. Why do you think that it was wrong to to use those sites? You'll generally have better legal protection.