Who are you trying to hide from? Depending on the answer, this may or may not be a good idea. If you want to sell your Bitcoin when it's worth a lot more in the far future, a KYC exchange (or your bank) may ask questions that are a lot easier to answer if your Bitcoin came directly from a KYC exchange.
I indeed plan to hold most of my BTC into the far future, when adoption and infrastructure to spend it will be so common, we won't have to use exchanges anymore, nor have the need to turn it into fiat. At that point the absurdity of paying capital gains on BTC we spend will hopefully also be gone.
But my question was mostly just technical - to better understand these things. So far I haven't parted with a single SAT yet. I don't trade or anything like that.
@Satofan44, thanks for the extensive reply. Much appreciated!!