Yeah, that kind of situation could happen to anyone, especially in highly regulated countries. In this case, it was a major mistake for the seller to sell those coins without first passing them through a mixer first. By doing so, he not only exposed the buyer to risk but also put himself in danger, since authorities could still trace the coins back to him using the information tied to the buyer and cctvs around the area where the transaction happens (if done physically/meeting).
Preparing your Bitcoin wallets, UTXOs for trade are important steps to insure your privacy as if you can not handle those preparational steps properly, whatever trading method you choose to use later, on a centralized exchange or a decentralized exchange or P2P trade, your traces on chain are very clearn and it can be seen by everyone including governments.
You can not erase any trace you left on chain so if you were careless with your wallets, UTXOs and transactions, your privacy can be detected by government or someone in the future including your trade partner too.
Using change addresses is part of enhancement on privacy while using Bitcoin.
What is the "Change" address on bitcoin wallet ? read to know !