Everything lies on whether you are using a centralized for swap or you are using a decentralized exchange to that. When you swap your coin on any exchange that is centralized, you must have done a KYC before they allow you to do that, no documentation no use of the exchange and when you are verified on any exchange after provision of documents, you don't have any privacy to protect any more.

But if you use a decentralized mixer to swap your btc to xmr, you have increased your privacy for using the centralized exchanges and addition swapping to xmr is highly a privacy protected coin and this is the reason why some countries hate to see their people use xmr because it is difficult to crack but doing it in a kyc centralized exchange is as if you protecting nothing.

Using a mixer is good though if you have bought a bitcoin from centralized exchanges because when you withdraw bitcoin from exchanges, the explorer usually tick it with exchange name as the source of the fund, mixing it will clean that and it will become untraceable depend on the mixing service you use.