USA Patriot Act allows government to look at all wire transfers. First Data the company that owns WU fully complies with the FBI and other government agencies to pursue investigations of money transfers that might be in voilation of federal laws. They are mostly looking for transfers to terrorist supporting countries (Iran, Iraq, Libya, Syria, Palestine, etc.) but also look into transfers into questionable areas - eastern europe, central america, columbia, etc.
A single purchase will probably not get flagged but if several transfers go to the same address it will raise a flag and get looked into. In this scenario most likely the target will be the seller and probably not the buyer.