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.
With non custodial wallets, you have many advantages
Have private keys and full controls of your bitcoins and transactions.
Have privacy by running your Bitcoin node.
Have freedom in setting up parameters for your transactions.
Don't have to do KYC.
No risk of coin freeze by any entity.
People can have wrong thinking and see advantages of centralized exchanges but they must know of this one.
Reminder: do not keep your money in online accounts.