You're verifying yourself for financial purposes on a currency website. The Bitcoin transaction itself is anonymous, so it couldn't be tied to you anyway.
I'm not saying it is sketchy I'm saying it isn't as sketchy as you might think, so we're arguing the same point here. Bitcoin transactions are public domain but only contain source wallet, target wallet, and amount. So, while its anonymous in that once you send the bitcoins out, the receiver knows no identifying information about you other than a disposable wallet address, it is possible for coins to be traced back in time through wallet addresses. So, in theory, if the police were to obtain a coin they know had been used in a black market transaction, they could trace every account it had ever been in, and give that list of accounts to an exchange who knows your name and your wallet address. However, that's ridiculously unlikely and far too much effort for police to go through to catch someone who bought drugs. If you're a vendor, then you may want to worry about using a bitcoin tumbler, but otherwise..