Sometimes it's in the same city, other times in another continent many hours away. Mail is sent to the Mail Forwarding Service and is then placed unopened into another envelope and mailed to its final destination. As long as your intentions are legal there is never any problems with authorities. A good, reliable, service does not condone fraudulent business activity. You can still use your regular address to receive most of your mail but your confidential mail goes to the Mail Forwarding Service and then to you.
Financial privacy is almost a thing of the past nowadays.
With computers, it's eroding rapidly, much quicker than in the past. I am not a Police official or a Private Investigator, but if for example, we are at your local mail shopping and I notice your car you're getting into or out of or driving away looks like you may have something I might want to borrow from you permanently, all I need do is write your license tag number down. I then trace your license plates, then check the car title, find out where you live, your various daily schedules, go down to the local county courthouse and check out the property you own, it's on their files open to the public. I could go on, but this might make you nervous, or more nervous, whichever be the case. It seems that whenever you make a simple purchase like some batteries at Radio Shack, for example, they ask you for your name and address.