Exchanges respond by sealing themselves off to protect their $3000 ETH from the $6000 fake ETH trade prices, thus creating a massive freeze in the market, thus wrecking the redemption system that underpins DAI.
It's very, VERY important to realize that all of these things are interwoven. There's no such thing as "USDC collapsing" without it also taking all the crypto traded on Coinbase with it.
Explain to me how you arbitrage USDC falling out of Dai?
I really encourage you to read up more on this. There are real risks that come with Dai as a stablecoin (including eth or USDC collapsing very quickly) but they are not the risks that you are identifying.
I likewise encourage you to think about this from first principles and read up on the mechanics of a currency peg. You MUST be able to quickly sell T-bills on the market swiftly to defend your currency peg, otherwise you will see your currency break from the pegged range. DAI is shifting the reserves from directly holding USD or T-bills to holding USDC instead, which isn't the same thing as USD and WILL cause problems for DAI.
If USDC loses value, those vaults will be liquidated and the collateral will shift over to alternates - ie. eth. The scenario you are mentioning only plays out if USDC falls so much (and quickly enough that the auction bots don't respond) that it cancels out the overcollateralization from eth. given that dai is 166% collateralized, it wpuld have to drop a ton, which is difficult to imagine when it is credibly backed by real assets.