Sure they do: Take your business elsewhere.
Yeah, I mean after you've made an account and deposited money. You can't say "Hey, I changed my mind, give my 'tainted' coins back". They confiscate your property and you either give it up, or give them what they want, that is personal data. They're blackmailing you straight. If they didn't, you could have the option to provide your UTXO on some /taint_check, and see yourself if your money is "tainted", without handing it over to some third party.
oh look blackhatcoiner. the guy that screams out fantasy dreams and scary nightmares without doing research
actual fact when just under a watchlist/investigation for suspicious activity an exchange cannot by law confiscate/forfeit your value.
if you done some research you would know this:
A if they find you suspicious to a certain level they run an investigation. if it encroaches to a certain threshold, they can limit your access to certain features in their service. but you still have the ability to withdraw your funds and close your account
they can only confiscate(steal) your value if they have raised their concerns to the authorities and the authorities have done an investigation and linked you to a crime that is evidenced enough to prove to a judge that there is enough evidence to file a court order against you.. and only on receipt of the court order can a exchange confiscate funds and pass you onto the courts to defend yourself
of course the easiest way to avoid this headache path if you are a malicious person that raises red flags. is to avoid services like those