Anything you see centralization, there are pretty much the same risks involved. It doesn't matter if it is an exchange or any other service like that. They always comply with the governments and won't need that much pressure either, as long as the simplest request comes they jump to obey. As I said this is not just for CEX either, we saw how the privacy oriented tool called Wasabi wallet obeyed and started censoring transactions in their CoinJoin coordinator!
Even there's no proof whether the story above were true or not,
They share it with all governments of all countries that demanded it because they don't want to be shut down or lose any portion of the market.