The coins themselves are sometimes worthless (like FTX's token), or can be frozen (Tether does this: https://www.coindesk.com/business/2022/11/10/tether-freezes-...). It doesn't matter if you hold a collapsed coin in your wallet or an exchange's; it's still not gonna do you any good.
Users bought it but the exchange didn't have it, which is what the OP was saying. If you don't have the keys, you don't really have the coins.
Citadel Securities has in their books securities sold, not yet purchaed. $65 billion. How is this not the same thing ? lol
1) FTX didn't even bother listing their customer liabilities on their balance sheet, unlike Citadel.
2) I would assume (hope) that Citadel isn't a completely fraudulent company without the capital to make good on those assets if delivery is demanded!
They could obviously get completely wrecked, but the shares are real things.