The exchange where you bought your coins from is centralized which makes your privacy not secured, the exchange can deliver your IP or information to the government and they can still track which ever wallet you are going to be send your coins to. Just as you have sent to bluewallet, they can track your address if they want. If you don't want your coins to be tracked, after you have withdrawn to your blue wallet, you can send it to a different exchange that doesn't ask for KYC and then withdraw back to a different wallet.