In my personal opinion, the only thing that worries others about why they don't want to give KYC is that there is only one reason, and that is that they don't want to know their identity, or it could also be that they think it might be used for bad things by someone else asking for it.
But as some say, we cannot give it if you are hesitating, as long as you are at the exchange. You should be known in this industry and have several years of existence in this field of business. Don't give kyc to an exchange that is unknown and new to the crypto space.