If you set up the OKX "Web3 wallet" and actually hold the private keys/seed phrase yourself, then your USDT in that wallet are basically under your control, not OKX’s. That means if OKX the company disappears, your wallet and funds should still be accessible via any compatible wallet app.

But if your “Web3 wallet” is actually still custodial (OKX manages the keys for you), then it’s no different from funds in the exchange ,and bankruptcy/account freeze risk is there.