The most easy example of illegal using bitcoin is hacking exchangers and wallets. How many big hacking already happen and how much will? And don't forget about scammers.
Exchanges nowadays aren't stupid when it comes to securing everything properly. That's why the main focus should be directed at employees and operators of an exchange or service rather than hackers. And if coins are being stolen through a hack, then these coins will be marked as such where this information is being passed to other exchanges and services. If the hackers deposit these stolen coins somewhere, they risk having them frozen.
Yeah I noticed that exchanges demands an identity whenever we have to transact bitcoin by converting it thru fiat money. They also prohibit money coming from gambling Casino, if found breaking the rules they can ban the account.