There have been cases in the past where people bought access to CP by being instructed to sign up to a regular porn site via affiliate link. So yes, it is in the interest of the affiliate program to know who they are dealing with.
And I am not an American tax expert and from my dealings with CCBill in the past I know that they don't care about things like that, but as a European company paying affiliates I need to know whether you are an individual or company and where you are located. Because it has implications on whether VAT applies or not.
If someone wants to do business with me but doesn't want to reveal their identity, I would just skip doing business with that person.
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