Hello trader.
Assume you bought stock on Monday and sold on Wednesday (T+2). Even if the person who sold you the stock defaulted, you instead of getting the stock on Wednesday, you will get it through exchange auction on T+3 day (Thursday). The stocks you sold on Wednesday have to be delivered on Thursday to exchange, but you get it through auction just in time.
But the answer to the question is still yes; there is still a very small risk of auction. There are times when exchanges can’t get stocks in auction market. In such cases, exchange settles in cash. So imagine the above example, on Thursday, when you are supposed to give the stock to the exchange that you sold on Wednesday, exchange gives you cash instead of auction stocks. Now, you don’t have any stocks to give to the exchange, and hence you end up defaulting as well.
Hope that helps. 