In Bitcoin, you should own real coins, and real coins are only those coins that are in the Bitcoin blockchain. Bitcoin in KuCoin and other centralized exchanges aren't real coins. Bitcoin in other blockchains aren't real coins as well.

As regards USDT, it is issued on several chains. There's USDT issued on Ethereum, Tron, EOS, and so on. But the question isn't really relevant when it comes to USDT. The reason why you should own real Bitcoin is that it is the only way for you to truly own and control it. Nobody can take it from you. This doesn't apply to USDT, however. Whether you have USDT issued on Ethereum or Algorand, whether you're keeping USDT in centralized exchange or hardware wallet doesn't really matter much because you can never have full ownership and control over it. USDT is centralized. USDT can freeze your tokens anytime.