The "kindly assist us" is actually key here. It is the exchanges and banks that are forced by regulation to KYC/AML, not the customers themselves.

But they're trying to shift this responsibility onto customers and make it their problem.

Of course, they have all the right to deny service to people who don't comply, but if people started leaving in droves in response to this bullshit, they would either have to shut down or finally start pushing back on the regulators.