But I think if you want to keep your privacy protected, you shouldn't let them know that you are protecting your privacy.
Ideally, you never reveal that you're safeguarding your privacy. Achieving this demands an astonishing amount of resources, involving the scrutiny of internet activities for the majority of the population within a surveillance state, just to create an appearance of privacy protection. If you fail to take such measures, you'll be forced to relinquish your privacy and accept constant surveillance.
Gotcha, we know you are not an ordinary user, we will keep an eye on you, in case something bad happens.
That's good, relatively to the example of being Tor-censored (and that's basically what the rest of the countries do). Okay, you want to be anonymous, you're put in a suspect list (if there's any such thing anyway). That is orders of magnitude different than prohibiting the access on Tor by default, because you're living under a "guilty until proven innocent" state; essentially, being guilty for not being monitored.