Well, if you transfer your funds from one well-known CEX to another well-known CEX, you should not have any problem. I believe most well-known CEX wallets can be traced if you dig a little bit. I have been transferring this way for a long time, and I have never had any issues. I am not saying that it is safe to do, but I have never heard if anyone has any problems if everything is right.
The Op is actually referring to mostly when you receive coins via your CEX addressees from a coin join transaction or a mixer transaction. Infact some miners have most of their addresses blacklisted and being monitored by bigger CEX.
The whole thing may not be a problem if you carry it out with just a couple hundred dollars or less however bigger problems come when you eventually try this with way larger funds. Moving already existing coins from a CEX to a DEX may not be too big of an issue though. Better still you can do it in bits.