Potentially, yes. If a swap goes through Changelly, then we are talking about a service that may conduct AML and SoF checks and ask the user to undergo KYC. This is done on a case by case basis. If the analysis of your coins determines a connection to 'illegal' and 'undesirable' actions, you may be asked to explain yourself.

The fight isn't against criminal activity only. Institutions are fighting privacy and anonymity. So, everything you use that improves the two will be considered suspicious and is unwanted.