Why wouldn't they? They have no stake in this. They'll do whatever let's them keep operating. "Sure I sold 40 units to <name> at <address> last week. Would you like his credit card number too?"
But that's the point - western authorities can't do anything to shut them down and Chinese ones don't care either. Sending a list of buyers is effort and takes time....so why bother?
I mean obviously we're just speculating, I just mean that a random Chinese website would have no reason to respond to such a request from say an American authority(and it's probably unlikely that anyone would ask, seeing as in a lot of places just owning such a device is not illegal, using it is)
You'd be delusional to think that largest Chinese retailer has no foreign agent employees working there. Just like at any point time there's probably an Russian, Chinese and some other agent working at Apple, Google, Facebook, Amazon, MS, etc...
I specifically said dealextreme which isn't anywhere near being a "largest retailer". Also with Alibaba you can just message the seller directly. So I don't see how having foreign agents working at a place like Alibaba would help in the slightest.
Either way, like I said, I would be surprised if any agency was spending any effort tracking this, the devices themselves are often legal to own and the cases of abuses seem rare.