if you buy it on a kyc exchange, you can't get rid of that record, so that's there.
if you withdraw from exchange to a lightning wallet, then send to a different lightning wallet, then swap back to on chain, I'd guess the exchange or anyone will have a very tough time tracing those coins. Maybe if the wallet you send them to only has a channel with a big LSP...AND if the people tracing you get a hold of the swap service's records, but even then, I think they'd have a hard time tracing it back to your initial withdraw from the exchange.