There is an intermediary in 0x called a relayer (receiving relayer fees) that brings together both buyer and seller through e.g. an exchange UI. Just the transaction itself does not require an intermediary and is therefore not prone to counter party risk (of course if buyer and seller knew each other before they could just skip the relayer).

Sorry I was a little unclear in my comment.

There is still an intermediary, they just never touch your funds.