This is why you need to read carefully the rules, terms & conditions, and privacy policy. If they clear stated "We may ask KYC for suspicious activity on your account" it's not the service/exchange fault, but this is your fault.
If they didn't stated ask KYC for suspicious activity and you got asked for submit your KYC, you can create scam accusations against the wallet/exchange/casino. This is one of the example and have been resolved
Power of this forum...Here are my suggestions if you want to avoid KYC:
1. For exchange: Peer to peer marketplace is your options
2. For web wallet: No need to trust web wallet, because it's custodial wallet. Better to use non-custodial wallet (e.g. Electrum and hardware wallet)
3. For casino : Read the terms carefully