Giving a 0x address that lives on another network
The address string is the same on Ethereum, BNB Smart Chain, Polygon, Base and Arbitrum. If you want the USDT on one of those, this route is the wrong one — it pays USDT on the Ethereum mainnet. If you gave an exchange address copied from a BEP-20 deposit page, the exchange may not credit an ERC-20 deposit to it.