There is a high probability that our personal data is already on the black market because very often state institutions are not able to provide their secure storage (at least in my country many databases from state institutions leaked into the network).
If you use cryptocurrency and pass the KYC you automatically connect your identity with wallet addresses. As practice shows in some countries the laws are retroactive. That's why many people don't want to lose their anonymity.
Laws shouldn't be retroactive, but, well, we are living in the world where not everything is like it should be. So, I can perfectly understand poker players living in some crazy countries where the less they know about you, the better, when they don't want to disclose themselves. However, I do believe that in most cases, it would be very hard to extract your personal info from a poker site located in another country or a third party KYC company.