It is not about if the coins are too much but even if it is a small amount of money, the exchanges still have tools that track the coin past transactions. Make sure your coins is not linked with something illegal. There is nothing to be worried about if you are doing nothing wrong or illegal.
How can they trace the funds to the source before the smaller exchange or the bridge? A wallet funded from mexc just shows mexc as origin right? Not previous hops?
They have tools for it which their blockchain analysts can use for the tracking.