Depends on what kind of exchange you are talking about since when are you gonna convert it to fiat, most of the country's local exchanges are required to get from you your personal info and source of income. Like our local exchange where you can't withdraw minimum until you proved that you are the real person behind the names and address you registered on their website. For us, there's nothing wrong with it because that's just the way it is and once you have done so, conveniently you can withdraw your money from their exchange.