> If a country decides collectively that this is the case, then what ought to change is the tax policy,
Your post is largely meaningless because, while this line is inarguably true, this also hasn't happened and so AML and KYC are still a thing--and there's precious little to indicate that anyone really cares about it aside from starve-the-beast conservatives and cryptocurrency enthusiasts, and that's not a majority.
If a country does decide so collectively, great! We haven't. So yeah, it's illegal, and the currently-fictive right to financial privacy remains so.