You can mail things anynomously. There's no need to put your return address I don't believe. I will research this more. You check the results online. Perhaps avcpl will chime in since he (she?) has utilized this service with success.
I will say, ecstasydata has been around for a long time and they continue to operate. There would be more of a stake on their part since they are the receiver of the illicit substances. They must have some sort of licensing and government approval that allows them to operate.
If there was any issue with people getting busted for sending in pills/substances to be tested I think we would have caught wind of it.
Its not bad that you are cautious, more people should be, I just think there is less worry in this case.