IF i hold coins in my adress nobody knows who I am. If i send only 1 satoshi to an exchange then at least the exchange does know who is the owner of the full balance of the adress and can from this point also track what I do with these coins.
What if you bought that satoshi from me or I deposited it into your exchange address from one of my wallets? What does the exchange know then? Does it believe that you and me are the same person and can they prove it? Maybe we are, maybe we aren't, but that's not the way to prove it. There are still CEXs that don't require KYC up until a certain limit, so the exchange doesn't necessarily know who you are. And if they track me (the person who sent the coins to your account) and manage to discover my identity, they tracked the wrong person. They still need to find out know who you are.