Probably not. I don't think bidders are worried about government surveillance.
I believe bidders actually pay a premium above market for government auctioned bitcoins since they are whitelisted and there is no possibility of unwanted taint. They are buying from the government so they can hold and sell the bitcoins out in the open using traditional legal channels.
It'd be a very stupid move to buy coins off USMS and try to then go off the government's radar. That is consciously getting yourself in trouble.
Even if you pay a premium, you're not on a loss. To buy $40M worth of BTC, it means you have to either keep fulfilling the cheapest Sell Orders from the order book until you get to fill your $40M order (which most likely means creating a long ass candle on the chart and buying at exaggerated prices) or you have to become a buy wall (which is not necessarily a bad idea, but you get the point).
Through auction, your "order" (bid) is fulfilled instantly. There's no time to wait - you win the bid, you get the coins.