Because that's the main use. Transactions through bank accounts.
Assume that banks and governments don't know that you have trades related to cryptocurrencies but if you are trading with a trade partner that is identified by banks and governments, they will find you and ask for more details, evidence of your bank transfers. It's when your trouble starts to appear and you can imagine what might possibly happen next.
Exactly, this is how it really happens. It doesn't come directly from the DEX, but from when one of the trader accounts is being suspected and confirmed to be doing a cryptocurrency-related transaction, then they will trace all the people they did transactions with. Questions will be asked, and the purpose of the transaction will also be asked, which, if no concrete evidence to differentiate you from the accusation, the next person and every other person they have done transactions with will be implicated. What's needed is for one person to be suspected, and the rest will be affected.