But, the exchange might ask you to verify your account, after you complete it, the exchange either allow you to use their service, confiscate your coins or return back the coins to your address.
Is there at least one known case where the exchange returned coins (and did not confiscate them) because they did not pass the AML check?
Generally though, if you don't want your centralized exchange account to be blocked/locked, just don't. Just sell the coins through peer-to-peer (Binance P2P, etc) as P2P buyers/sellers generally don't care about your coins' history.
I've never used this option, but is there really no check here?