Node vs. non-KYC exchanges vs. CoinJoin for privacy?

1stTimeHomeBuyer11
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I'm having a bit of trouble understanding the difference in protocols for privacy. Can't a user just use a non-KYC exchange (robosat/bisq/hodlhodl) and then call it a day?

What is the purpose of running your own node (for privacy) and CoinJoin mixing if the coin you get from the exchange is already anonymous? Is it just that certain protocol is better than others or am I misunderstanding something fundamental here?