Here are my main concerns.

If you use another KYC place to store from purchase to sell, it's easy to trace from Exchange A to B and back again. With no other inflows cost basis is safely assumed at purchase price on Exchange A.

If flows between A and B don't match, you've either sold somewhere else and are not declaring it, you bought/obtained somewhere else and are not declaring it. You are keeping a stack somewhere that is neither A or B. At that point you'll most likely be asked to provide evidence of the third option in order to discard the other two, or you'll likely face tax evasion charges. Now, in order to prove the third option AND disprove the other two, you'll need to have the mismatching amount somewhere else no more, no less.

You may think, if they can't prove what you have or don't somewhere else, they can't prove there's a mismatch. While true, I think you might be overestimating the presumption of innocence of your country. Once "sufficient proof" has been brought up, the burden of proof will be shifted from them to you and not providing proof of those reserves will be equated to tax evasion and money laundering.

That's why it's called parallel accounting and not multiple-times-intersecting accounting. If you don't want to pay taxes on your non-KYC, your KYC and your non-KYC should never mingle. And if you are going to do that, then what's the point on moving stuff between KYC services/wallets?

That's my two sats, anyway