An address does not provide anonymity, every single transaction's receiving and sending address is public information as part of the blockchain. If your vendor is busted, their receiving addresses will be known, and thus your address will be known which is linked back to your Mycelium account, and thus to your identity.
Monero is a privacy-focused crypto which encrypts transactions bi-directionally with a wallet's private key, meaning the transactions on its blockchain are not public. If a vendor is busted, you remain safe.
