I agree, it is always better to receive funds into your own self custodial wallet, irrespective of the source. Once the funds are under your control, you can now move it as you please.
This is a video on Youtube from Andreas Antonopoulos about tainted coins.
Bitcoin Q&A: Blacklists, Taint, and Wallet Fingerprinting.
Understanding about how exchanges do their analyses for having their blacklist, taint, and wallet fingerprinting against their exchange users, people who value their privacy will know importance of doing some further steps for having better safety of their funds before and after funding their accounts on exchanges.
Be careful is better.
Prevention is better than cure.
It does not cost too much for practicing more carefully with some extra steps and a little extra cost.
