So what is the alternative? I coinjoined first time, but I haven't sent to any CEX yet, I'm thinking of sending these coins to some of my other wallets before (in my possession).
I am not sure. Staying away from centralized exchanges that can't be trusted is good advice regardless if you use privacy tools or not. Moving the coinjoined funds around within your non-custodial wallets like normal money isn't bad either. If a CEX freezes your funds, you can always say you bought the bitcoin from someone P2P and you have no way of knowing what they used them for in the past. That is if you don't want to tell your CEX you used a coinjoin service.