With kyc exchanges pretty much all purchases can be matched together. They get a pretty good picture of what you own and have more detailed information such as your address.

With non kyc buying such as robosats, every single trade is treated as an individual event. Next time you buy or sell you get a completely fresh id. So the potential tracking institution at the other end has less information from you in the first place and it is much more difficult to string all of that together or to „proof“ what you own. Still, risk here is that more different individuals can get hold of your payment data but that’s also true for buying stuff on ebay or other places