I think there's definitely a cost-saving benefit to doing OTC trades, if I'm understanding the definition of the term correctly.  If two parties make a deal with each other, there's no exchange fees to worry about--and if we're talking about whales, those exchange fees could be significant.  Plus when a whale buys or sells large amounts of a coin on an exchange, chances are that it's going to affect the price of the coin.  That's why when Warren Buffet buys large blocks of stock in a company, he doesn't buy all at once but breaks the buy up into smaller blocks over a period of time.

And yeah, doing OTC trades eliminates the risk of an exchange scamming you, but if I was a whale buying or selling bitcoin I'd probably be comfortable doing so on an exchange like Coinbase. 

The best advantage I can think of for doing an OTC trade is that it keeps the trade private, away from the spying eyes of governments, regulators, exchanges, and everyone else.  That's as good for a whale as it is for a small investor who wants to stay anonymous.