Sure, and that's exactly why sovereign states don't like monero and mixers - but that is their problem, not mine. Also, in many cases transferring crypto is not illegal - for instance, it is legal to transfer money to non-sanction banks in Russia, but in many countries, the banking system doesn't allow that. If you had a 90y.o. starving grandma there, you'd be grateful for the crypto.
Via sanctions, it is illegal for you to use specific mixers assuming you are a US citizen. Which does make it your problem.
And if you have a mixer or private coin that isn't under sanction, it is only a matter of time as determined by the US gov's assessment of the risk of it being widely adopted.
I am not a US citizen, but, regardless, I'm not sure you're right: as long as I don't consider something to be immoral, I don't particularly care if it's legal or not. Given how easy it is to obtain untraceable crypto, I still think it's mostly their problem.
