At first I thought you might really be onto something on this, but you aren't.
To put it simply: BTC->LTC at ex1 and then ex1->ex2 and then LTC->BTC is no more anonymous than BTC->BTC at ex1 and then ex1->ex2 and then BTC->BTC.
In both cases the two exchanges have to collaborate to reveal your identity. But in one case they have two be aware of 2 blockchains instead of 1. No big deal.