Yes, it's not about trusting them keeping your money, but more about trusting them offering the exchange service. In my case, I 've not asked the exchanger to hold my funds for me, I just asked them to do a swap. And, since they refused to do the swap, I asked them to return the funds back to me. But they haven't responded... That's unethical, isn't it?
You are quite polite in using the word "unethical" to describe such behavior and the situation in general. This is theft, pure and simple, and I'm very sorry to hear it.
Many Bitcoin casinos and exchanges started this way: some guy creates something nice that gets out of hand, and suddenly they're earning a shitload of money they can't spend legally if they don't become regulated. Quite literally all the exchanges and casinos I first saw when I started in Bitcoin, went from completely anonymous to full KYC or they stopped existing.
That's 99% accurate, we've all seen that happening. However, we knew that this moment would come, even if it's against the fundamental principles of our beloved BTC. And it's more than sad, at least as I see it.
That makes it impossible for any anonymous trusted exchange to exist for a long time.
Unfortunately, this is the sad and bitter truth. As long as Governments and their authorities want everyone to be monitored and controlled in every single action they take, anonymity is out of the picture.