I'd say if the exchange is hacked then everything you've got on there can be taken... no matter what the wallet is. USDT doesn't have a desktop wallet yet (as far as I know) - you can keep it on the exchange (never recommended, hey!) or as a mobile app (haven't check out how its security works yet). You can also use tether.io to send and receive funds but yeah... no desktop wallet that I know of yet. Check https://www.cryptocompare.com/coins/guides/what-is-usdt-and-how-to-use-it/ for more info.

I have a tether wallet on bittrex and use it when everything's crashing. Then just buy back on the reversal (BTC or ETH on bittrex are possible. Poloniex has more options) Not totally happy that there's no desktop wallet though....

Hope that helps.