First of all: privacy. In some countries, you do have to declare how much BTC you own, but valuated in your local fiat currency. By holding non-KYC bought coins, they cannot trace your purchases and payments, while you're still compliant with all laws. However, if you have KYC-bought coins, the government can trace whatever you do with them at any time.
In other countries, like yours, you only pay tax and declare your holdings, when you sell. That's even better. If you are holding lots of BTC for years or decades during which you don't need to tell anyone about it, by law - why would you want to do it? By buying via KYC exchange, more people know that you hold Bitcoin than what is required legally, so you have more risks and no benefits from it.
Another point to consider: where you live now may be a vastly different place than where you're living at the time of selling your BTC. You can't yet know if you're going to move to another state in the future, and you also can't yet know whether government will change. Laws change, politics change. Let's take for example gold: how many times was it made legal and illegal and legal again in the United States? And every time it was made illegal, all the gold was confiscated.
If you're legally allowed not to hand over public keys, and even better, not needing to declare that you own Bitcoin, that's the best protection against such a potential confiscation in the future.
These are not all, but some of the reasons why it makes sense to have 'anonymous' Bitcoin even if they're obviously 'de-anonymised' when selling at some point in the future.