Never used it to deposit, I always use credit cards (or EFT back when you could do that from the US).
Have used WU for withdrawals a few times. It quick & painless. For smallish withdrawals, the mom & pop agents like you find in convenience stores or most grocery stores don't ask for anything other than your ID and MTCN. Once I had a withdrawal too big for the small places and had to go to a bank. Being a bank, they won't make change for a quarter without filling out a bunch of paperwork including SSN. It's the equivalent of opening an account, basically. But I did it and got my money -- they didn't question why or what it was about, and if they do you don't have to tell them. Just make something up to shut them up.