Grin was created as a confidential coin, but some moments violate the user's privacy. Most exchanges require verification (KYC) and users discloses his data. To withdraw Grin, users need to specify their static IP address, thereby revealing their exact location. Of course, you can rent a server, but then your wallet becomes paid.
For increased privacy, you can use Grin Web Wallet. This service isn't only for storing Grin coins, but also for transit operations.
Enter your Grin Web Wallet address on exchange or mining pool and then send your Grin from Grin Web Wallet to your own wallet.
Grin Web Wallet doesn't require user data, no need to go through the KYC procedure. All data on users operations are stored in encrypted form and the key is "username + password + pin". Thus, until a user provides the key, no one can learn about his operations.
Grin Web Wallet cares about users privacy.