I think you're cool if you're on BitShares. There's no counterparty risk. Everything is 100% backed by its equivalent that goes into a smart contract when the funds come on board. For every bitUSD, there's a real USD in a smart contract. Same thing for everything "Bit" that's traded on BitShares, as I understand it (correct me if I'm wrong; likewise, please confirm it if I'm right).

If there is a blow-up with Tether, unlike the centralized exchanges that could get hit hard, BitShares wouldn't feel a thing. That having been said, all holders of USDT, and related, would get hit. The big difference is that the exchange wouldn't be compromised, again, as I understand things.