Let’s say you make an address public on the forum as per receiving payments with it. Like the address you now use on Rollbit campaign. It’s not difficult forum wise to note that, this address belongs or is linked with you on the forum.
When it’s an exchange address, though it’s logged to you, it still belongs to the exchange as, they could someday decide to change contract address and just like that, the address is gone. It never really gets tied to you.
It's better that you use a noncustodial wallet and your bitcoin address is linked due to not closing your tracks than using an exchange that you did KYC and one day, the government can come for you if your account is a suspect of some illicit activities. Exchange can also freeze your coins. Changing your location doesn't matter, your document and face is in the exchange.
However, it will be better not to send funds to a wrong network even though, the exchange that you are using supports that network because the process of refunding your funds might be long. Save yourself from all those stress and worries.