It’s annoying, indeed, but it’s still part of the AML requirements. All regulated exchanges have to comply with these requirements. It’s just that most of them don’t request this information for every transaction. However, they may, for whatever reason, suspend your account at any time and ask for the source of funds. The information you will need to provide then will not stop at basic details such as the name of the sender. They may even ask about the nature of your relationship with the sender and why he sent you that money..
Many are not comfortable with this requirement. What if you are transacting with someone here or elsewhere? Would you ask for their real names to meet the requirement?
No guarantees that this will work, but you can ask that person to send the coins to your non-custodial wallet then send it to your local exchange.