The big problem is that people have a fundamental right to financial privacy from the public, but not (in many places) a right to financial privacy from their government. But, in the crypto world it has been difficult to achieve the first without the second. You can send funds to an exchange and then send them to a different wallet but there's the risk the exchange won't let you withdraw funds, and this type of activity is flagged as an AML risk and could be cited as actual evidence of money laundering, despite it having a very clear legal motivation behind it.