It is true that it is impossible to avoid revealing your identity and to have your documents stored on the computer of someone else in this world, but at the same time it is not as if we are going to give away our documents to every single entity that ask us that information, so some kind of balance must be reached, and there are gamblers out there that if they were asked for that information by the casino in which they are playing they will refuse to give them away, even if it means losing whatever money they had at the casino.
When you do KYC, if you have to, you will have to make digital files and send them to exchanges or platforms. People can make a bad practice by storing those files on their devices after they submit KYC.
I practice like this, after I submit documents for KYC, I delete those files on my computers, laptops, mobile phones because it does not mean anything to store them. Storing them will put you under more risks like someone get access to your device, your device is stolen, hacked etc.
I know deleting files simply does not erase all data and traces but it reduces risk. At least you won't show your digital documents to others. For experts, they can play with your disks and recover erased data to find something but it is another deeper story.