But even with a bank trade, ... there's not a huge risk. Take this hypothetical.

State actor is trying to identify Eva who sold some illegal drug on a dark market to an undercover law enforcement agent. So the state actor knows the bitcoin address LE sent the payment to. And then Sally buys the bitcoin from Eva, and pays with, oh say Zelle. So LE can see that the bitcoin being traced went eventually to Sally. Then Sally deposits the BTC at a KYC'd exchange (to buy shitcoins, let's say), which lets LE figure out that Eva's coins went to Sally. Then they find that Sally did a Zelle transfer a day after the agent did the dark market buy.

So yes, at that point -- LE then knows both Sally's name and Eva's name, and their bank accounts used in the trade. But they aren't after Sally the shitcoiner, they are after Eva, so there's probably no real issue (today) for Sally.

If Sally wanted to lessen the chance that LE or anyone else would know about the bitcoin trade, Sally could use CoinJoin or one of the other methods to maintain financial privacy. So even though Sally deposited bitcoin with a KYC'd exchange, there's nothing to tie those bitcoin to the ones Sally bought from Eva.