Apart from the fact that there are transaction costs and time delays (it'll take about half an hour after you bought BTC on Binance that you can sell them on Coinbase), what guarantees that the BTC price is the same on Coinbase and Binance?

Well, arbitrage! But suppose BTC it is much higher on Binance. You'd then take USD and transfer them to Coinbase:

USD (Coinbase) -> BTC (Coinbase) -> BTC (Binance) -> USDT (Binance) -> ??

Now you need to take these USDT and turn them into USD, to keep the arb running. But that is precisely what doesn't work.

So: the chain you outline is NOT a way to "directly sell USDT for USD", as links can break down.