I think the OP is referring to the possibility of DCAing Bitcoin in a decentralized exchange such as Bisq. Maybe the OP have the mindset that putting large amount of money into Bitcoin and getting that through CEX might attract the attention of the authorities hence the need to opt for non KYC platform. This is what I understand about the post and if that be the case, CEX may need source of funds and other information which you should easily provide and buy your Bitcoin before transferring to your personal wallet.
Based on the title, he is asking about the importance of BTC that doesn't have KYC; he is just giving a sample of if he is DCAing bitcoin with no KYC.
There's no other advantage of having a BTC with no KYC; it's your privacy concerns. If you don't want someone to monitor your investment in BTC for the long term, then buying BTC on a non-KYC exchange is a good option, and there's no hassle of going through exchanges that ask for KYC verification. I don't see the importance of having BTC with no KYC, but if you are concerned about your privacy, that's the reason why we are going to use an exchange with no KYC.