Is their some worldwide law forcing all of these companies to do this?
Or did they all just learn a dirty little trick, that some will support, that they can use to keep some percentage of users coins?
No, there is no worldwide law, what we do have are AML procedures and legislation accepted by most countries in the world and an increasing collaboration of all, including many of those that a few decades ago were tax havens with these procedures.
Specifically I believe that in the crypto world this is going to happen more and more, as it is already happening, and I can also believe that in some cases certain sites take advantage of it.
This is perhaps fantasy, but if the UN actually had an enforcing body, perhaps they could make rules about crypto currency bridges which exchanges would have to follow.