Now, that's an interesting exchange setup, isn't it? Regulated, but KYC isn't enforced. It's like a whole new ball game. I wonder what kind of 'government' they've got running the show – maybe a 'decentralized government' where rules are more flexible?

Words are cheap. 'No KYC', 'decentralized', 'custodial', and the like are terms easily used to mislead people and gain trust.
Under their terms and conditions, you indeed cannot find KYC, but you can find 'personal data' and 'personal information'. Specifically, it says:
"...we will collect minimal personal identification, only as much as required to protect the security of your funds, such as to prove your identity to reclaim ownership should account access be lost."
That's quite misleading because, in reality, they do impose KYC checks. They just don't announce it upfront to attract users to the exchange. For those of us who have been in the crypto space for a while, it's easy to spot red flags like that. It's good that we have this forum so we can voice our opinions if there's a post promoting a certain exchange, but it doesn't seem to match what it's claiming.
This might actually tempt those who are desperate to use the exchange because they either want to hide their identity or don't have the necessary documents for verification. But there's always an inherent risk in using such exchanges. Hopefully, they'll be able to handle it if things don't meet their expectations, as they were already warned and aware of the risks from the start.