That is the thing, we still have some level of privacy but as you stated the problem is that since all transactions are public then you only need to make a single mistake and suddenly you do not have the anonymity that you thought, this has happened many times in the past and that is how some people that thought themselves untouchable eventually met their fall, however assuming that you are not doing anything bad then the chances those technologies will be applied specifically against you are low, so some level of anonymity can still be maintained.
Yes! Just some level of anonymity. And about doing anything bad - it means that someone knows when you are doing it and someone decided what is good and what is bad. So again - we see just a part of anonymity, that is allowed to us. And you always have to check every action not to loose your anonymity. Just remember it always when you are working with cryptocurrencies.