Yeah this is no longer about privacy anymore, regardless you buy Bitcoin through centralized exchange or through no KYC P2P/DEX, it's advisable to leave your coins in self custody wallet especially you hold at least $1K.

There are people who worry if they bought tainted coins, there's no way to know if they bought from no KYC P2P/DEX, in this situation it's better for them to buy through centralized exchanges.