As much as we hate it, crypto is evolving, and so it's no longer that (pseudo)anonymity. It's because of certain regulations like for compliance on AML that crypto exchanges are requiring everyone now to submit their personal information. Yes, it's true it defeated the purpose of decentralization, but it is what it is.
Anonymity must start with a blockchain technology and its design. You can not have anonymity with a service that knows everything about you at start.
I understand your opinion that there are more regulations from governments but it's not main cause why you can not have anonymity by using blockchain or cryptocurrency. Governments are like mosaics on top of unanonymous things and make it worse for citizens while make their governance against citizens more easily.
Between CEX and DEX, surely at start you have privacy and anonymity with DEX while with CEX, you don't have it and if governments enforce KYC mandatorily, it becomes worse for your privacy and anonymity.