I find it FAR safer to operate with anonymous people. First, who is the subpoena going to be delivered to if my tyrannical government (USA) wants my account info? The more they care about their anonymity, the more likely they are to protect mine - even if just because they're in a better position to.
Why would them caring about their anonymity; have any bearing about them caring for your anonymity?
Plus....what do you care about more your anonymity or your money?
If given the choice between the losing their anonymity or losing their money I would think most prefer to keep their money.
For example if presented with two options:
A) Exchange is harassed by US gov into handing over all your information
B) Exchange disappears with all your money
Granted both options are bad; but if you prefer option B; then it would seem the money was ill-gotten?