You choose one of the worst, lol, so I guess you have to own up to your lack of vigilance.
If you didn't want KYC verification, you would have tried out HodlHodl, Bisq or localcoinswap.
is this even legal?
when I created my accounts they did not require this and now they can just come and
lock my funds till I verified myself?
Learn to read terms of service before you put your money into any service. As far as the TOS are concerned, it's "legal"
VPNs won't help you.