Yes it does matter. Not just governments who are a threat either.

KYC data can accidentally leak or be hacked. Happens all the time. Now how much Bitcoin you bought, your name, address, etc are in the public available to any criminal.

https://github.com/jlopp/physical-bitcoin-attacks/blob/master/README.md

It's not just okay, but a virtuous and a moral duty to avoid theft from the state (aka taxes) that they overwhelmingly use to cause harm to others. Deprive them as much as you can.