It depends what your threat model looks like, I’ll lay out two scenarios:

1. You want to buy bitcoin but you don’t want to correlate that purchase to you as a person at all. This is a scenario where you want to achive the highest amount of privacy where no one knows that you own that particular set of UTXOs(or any bitcoin at all).

2. You don’t care if other third parties, such as governments or exchange employees etc, knows that you own bitcoin but you don’t want them to know which UTXO you own. They know you owned the UTXO you bought on the KYCed exchange but you’re able to hide through CJs, on-chain/LN swapping etc.

I don’t think there is a right or wrong that fits everyone here so you have to figure out what fits you and your own life situation. I tend to think that scenario 1 is the one to aim for but it is more expensive so you have to figure out if it’s worth it to ensure your ultimate privacy or not. It’s also a bit harder than scenario 2 because most offers in the no-kyc market are requesting payment through KYCd payment rails.