Decentralized exchanges like Uniswap have already introduced KYC capabilities in Uniswap v4.
This is implemented via the "Hooks" mechanism, allowing a developer to create a liquidity pool and attach a "KYC hook" to it. This hook checks whether the user holds a specific KYC-NFT verification token in their wallet - a token obtained after completing the KYC process through a third-party service. I haven't encountered this in practice yet, but it will likely be implemented soon.
That's a big step from the previous frontend-only verification (which was easily bypassable).

So now your wallet will need to hold a NFT token linking your real identity to your on chain activity (e.g all your balances and transactions). That... doesn't sound good?