There are two layers of counterparty risk here. One is to the broker who holds custody of your ETF shares. This aspect is thoroughly regulated and insured by the SIPC: not much to worry about. It's the same kind of counterparty risk you take when you trade any stock.
The second is to the Winklevoss Bitcoin Trust, which practically speaking is mostly a risk of security breaches or corruption involving the trust custodian, Gemini Trust Company, LLC. There are some reasons to think this might be safer than holding bitcoin yourself on the blockchain, or holding it through an account at an online bitcoin exchange, but this risk is not even close to being insured by a big stock exchange. In fact the S-1 says explicitly that the bitcoin holdings are not insured by anyone. I would say this part of the risk is much closer to counterparty risk with an online bitcoin exchange than it is to counterparty risk to a big stock exchange.
The second is to the Winklevoss Bitcoin Trust, which practically speaking is mostly a risk of security breaches or corruption involving the trust custodian, Gemini Trust Company, LLC. There are some reasons to think this might be safer than holding bitcoin yourself on the blockchain, or holding it through an account at an online bitcoin exchange, but this risk is not even close to being insured by a big stock exchange. In fact the S-1 says explicitly that the bitcoin holdings are not insured by anyone. I would say this part of the risk is much closer to counterparty risk with an online bitcoin exchange than it is to counterparty risk to a big stock exchange.