I don't know how it will work, but swapping XMR --->native token, RUNE ----> BTC or vice versa will not be 100% anonymous, and may lead to all coins passing through THORChain being high risk and may be frozen immediately upon depositing on any central exchange.
THORChain’s Terms of Service clearly state that the protocol does not provide any guarantees regarding continuous access to the service, no bugs or issues, that information is accurate, or successful execution of transactions. It also places full responsibility on the user for all risks from using it, making the user solely liable for any losses or damages.
So far, I have not seen XMR or any privacy coins available, but if they if they were available and a user received assets classified as high-risk and then transfer them to a CEX , which is a regulated entity, the protocol would not be responsible for what happens in that case.
Source: https://thorchain.org/terms-of-use