If suddenly someone gets access to your non-custodial wallet with KYC, then it is better to report it to the police.
I don't use any kyc self custodial wallet, i don't even think i know of any. However, if someone compromises your self custodial wallet, i don't see the need of going to the police, your funds are surely going, so you should create a new wallet and secure that better. Finally, i don't even think anyone should use any self custodial kyc wallet.
For example, you can use the Ledger service to save the seed phrase, and there you need the kyc procedure.
But that's not the problem. In some countries, citizens are required to declare their wallets to the tax office. If the wallet is declared and the coins are stolen, you must definitely write a statement to the police in order to submit the correct tax return.