Highly depends on where you live. US wise, SAR reports can get thru finCEN to the IRS and trigger audits. They don't treat it as a like kind exchange either and would absolutely want a gain/loss report upon disposal into XMR.
Discussion
If they know you swapped to it no doubt. Maybe you got hacked before the swap. Or lost your Monero keys.
Like I said I'm not recommending buying either Bitcoin or Monero with KYC in the first place. But your original topic was about difficulty in acquiring it and if they can follow you.
It's similarly as difficult to acquire non-KYC Bitcoin or any other crypto.
"I Lost my hardware key in the boating accident and didn't keep nemonic backup"