Unfortunately, it happens. The dirty concept regulatory bodies are mandating is simple flawed. For instance, someone could always send mixed coins to your CEX deposit address which potentially could ring their alarm bells. We don't know how far in the money trail are they looking at.

Best you can do is lessen the risks as much as possible. I believe you've gotten enough advises for it.

Also, I've never heard of veil.exchange. Best to stick with reputable platforms for extra safety.