Everything you mention are great advantages over CEXs, but there's one thing you didn't take into account - and that's banks. If you use bank transfers for these types of transactions, then the bank has access to all bank transactions, and in my case, that means that the tax office, as well as the financial police and maybe a few other agencies, have access to the same transactions.
If someone can remove the bank from this equation, then there is almost a perfect way to trade with cryptocurrencies.
The problem lies in the quantity. If you want to exchange dozens of bitcoins into your fiat currency through a bank, you will set off alarm bells. But if you occasionally make transactions below the limits where they are automatically reported you will be fine. Plus I haven't used it myself but I could swear I've seen on DEX offers to exchange for fiat that is sent via snail mail. You can rent a PO box if you want to receive it for privacy but here again it matters the amount. If for whatever reason the envelope or package gets inspected and they see millions of euros you are going to have a problem but a few hundred or even a few thousand now and then is fine.