The threat is in the potential fallout from the companies behind these coins printing too much fake money and going bankrupt. USDt was supposed to be backed 1:1 by usd. People were asking them to show them proof that it's backed and got none. Finally the company admitted that some of the USDt in circulation is not backed. Who wants to be the last fool to turn their USDt into USD? Not me.
The same goes for all bitcoins on deposit at exchanges, or dollars on deposit at your local bank. Eventually, fractional reserve will take its toll. This is characteristic of all trusted custodial arrangements, not just centralized stablecoins.
That's why decentralized stablecoins like DAI are much more interesting to me. It uses economic incentives to pressure the price towards a $1 peg and is completely trustless -- no third party custody.