Are you guys all outside the EU?
Is this because I'm in the EU?
No, not because of you are from EU.
A regulated exchange will collect your identity documents to comply with your government norms.
But, here we are discussing about submitting documents to prove residency address which come under level-3 verification as per common practices of KYC. (Level-1 is without documents but submitting your name and DOB and level-2 is about submitting select government documents for proving your name and/or your photo or selfie). There could be level-4 and 5 which includes video and documents of your family members.
I remember days that I forgot to off my VPN but using it to open Binance
Beginners' mistake, still I am sure that level-3 will become mandatory very soon with these exchanges.