But that's about it right? Only issue is the top of the funnel. Person could buy it but eventually they don't know what happened to it? Person could have lost the coin, maybe it was stolen? There is some plausible deniability, do I have that right?

Tin foil hat time: Depending on your jurisdiction, the exchange may have to report the purchase to the government which puts you on a list. While they may not know what happened to the coins, they know you bought them at one point which might make you liable for taxes or become a target in the future.