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But about damages, as far I understand if I am far away from US laws, then they can sue me in US, and even win there, but they will not get any money from me?
Not giving legal advice as I am not an attorney, but by way of general info, if a person/company in the US sues you and wins, they might be able to domesticate the foreign judgment in your country and seize assets you own, if your country laws allow. Of course there is a considerable expense involved and the person or company would have to pay that, and if they were successful in their efforts, you would ultimately end up paying for.
To sum up it's difficult to enforce a judgement in a foreign country.
Whois Privacy is not the same as anonymous registration. It's just an arrangement whereby the registrar knows the identity of the registrant but agrees to conceal the info in the whois (often for a fee).
It is likely that the worst that can happen to you is to lose the domain in UDRP. But it could the most serious loss in itself.
You might choose to ignore the UDRP request (if you are served with one) and stay hidden but if the complainant has a strong case and you do not defend yourself the name could be taken away from you.
Remember the complaining has to establish 3 facts, among which the fact that the domain was registered in bad faith. This might be the critical point of balance in a dispute.