You go to your exchange, you deposit fiat, then you buy BTC. They credit that BTC to your account.

You press a button to convert your balance to ecash (or automatically). You then initiate a withdrawal to your Bitcoin address using your ecash balance. The exchange sees where money is going, but they don't know it was you. The result is that they can't track where your Bitcoin goes (if the anon set is large enough).

Sounds like a no-brainer to me. No additional risk for the user. I would use this 100%.