As a poker player I try to think in long term EV. I don't know if it is +EV to reveal your identity in order to play some
freerolls.
I don't know how much CC freerolls are worth in terms of EV so it is difficult to evaluate that part.
As for screen names I don't think anybody will target me. But my point is that if a player takes a note on me he can apply this same note on all my screen names.
When I tag a player on one site if I find this same player on another site I tag him immediately.
The other disadvantage of linking all your screen names is that you better have a different password for all sites since a hacker finding one password could wipe out all your accounts.