Better to know the difference between different wallets and exchanges.

Custodial vs. Non Custodial Wallets - "Not your keys, not your coin" Explained.
CEX vs. DEX: Which Crypto Exchange is Right for You?

Most people refer wallet as non custodial where we received the seed phrase without need to submit our KYC. While centralized exchanges do require KYC.

Of course it defeats the purpose of anonymity, hence you should use no KYC P2P that listed on kycnot.me

Lost access is possible, that's why you need to backup into many places.

Hey, first of all... welcome to the crypto world, and second... know that your question isnt silly at all, quite the opposite: I think this is the first thing every beginer should do it.

So... there are two scenarios when it comes to privacy:

1. Non-custodial wallets like Electrum, Sparrow, Wasabi, BlueWallet, hardware wallets and others.
They will never ask you for a personal data, and you will always have full control of the private keys, so if you lose them no one can ever recover them for you. On the other hand... you guarantee the privacy of your data.

2. Exchanges and centralized custodial platforms like Binance, Kraken or Coinbase.
These will almost always ask for your KYC (the amount of information and documents varies depending of site and volume of transactions you will be processing).
This reduces your anonymity but guarantees account recovery if you lose access.

I would tell you to always prefer the first one, but if you need to buy or sell crypto for fiat currency... then there is no way to avoid KYC, unless you resort to P2P.