I guess you already know that centralized exchanges work with blockchain analytics companies that help them assess the risk of incoming transactions and they flag addresses based on the detected risk level. Those companies, like Chainalysis, are good at what they do and sending your coins to an intermidiary address or even more than one won’t help you hide your tracks.
However, sending to an intermediary address is still better than nothing as it helps with plausible deniability, as I said above. When they ask, you can say the funds came from a friend or for exchange of a service. This may not buy it but it’s certainly better than nothing and having no excuse to jutify the link with the mixer.
Centralized exchanges work with companies that track cryptocurrency transactions which creates balance between keeping transactions private and following rules. Companies like Chainalysis are good at tracing where money comes from and goes to. If you send your cryptocurrency through another address it might not completely hide your tracks but it can give you some protection. You could say money came from friend or as payment for something which might not fool everyone but makes it bit harder to figure out where money really came from. This method does not make you completely anonymous but it does make it more complicated for others to track your transactions.