Eurex has native OCO orders. CME and ICE don't. ICE does not allow for stop market orders either. Most brokers will do the conversion into a stop limit order. It really all depends on the exchange and how your broker system is handling it.
Typically the OCO functionality is not at the exchange, the exchange only knows the limit and stop market order. If your client is down, the OCO functionality is not working, and both orders the stop order (stop loss) and the limit order (profit target) may be executed, leaving you with a naked position.
You have to find out which piece of software manages the OCO relationship to know what to do, if your client is down.
I have never used OCO Trader, but I think it is similar. Here is a response from the TradingTechnologies Forum (the post dates back to 2006, so I cannot tell whether is is still up-to-date):
"If the exchange does not support stops but TT does, the synthetic stops are held at the TT Gateway. If the client goes down the stop order will no longer be managed by OCO Trader and the stop order will never reach the market. The limit order, once placed in the market by OCO Trader, will remain in the market as a straight limit order. Any reactionary functionality provided by OCO Trader will be lost.
There are some TT gateways on which neither the exchange nor TT currently supports stops including ICE, NYMEX and Montreal. A trader wanting to create stops on a gateway that does not support native or synthetic stops can use the virtual stop feature on OCO Trader, Navigator, Equalizer, or PS Trader to create these stops, but these will be held on the client. If the client crashes, the virtual stop is deleted."
This is pretty much the same as for NinjaTrader, with a few differences. In particular the stop order is handled in a different way:
OCO management is simulated locally by OCOTrader and NinjaTrader
-> limit order goes to exchange
-> OCOTrader: stop always goes to TT Gateway, where it is simulated
-> NinjaTrader: stop goes to exchange if supported by the exchange, otherwise stop goes to broker server, where it is simulated
-> OCOTrader: OCO management is done by OCO Trader, if OCOTrader client goes down, OCO orders are no more managed
-> NinjaTrader: OCO management is done by NinjaTrader for most brokers, if NinjaTrader goes down, OCO orders are no more managed
However there seems to be a difference:
If OCOTrader goes down, you have no stop loss, but a single profit order which covers your position if hit. At least this is what I conclude from the message cited above. If NinjaTrader goes down, you are left with stop order and a limit order, both exchange or broker held. The advantage is that you do have a stop, the inconvenience is that both orders persists and you may find yourself with a reversed position if both orders are hit.
NinjaTrader has an advantage, if you trade through Interactive Brokers or TD Ameritrade. Both brokers support OCO orders on their servers. Only for these NinjaTrader passes the OCO management to the broker servers, where the full OCO management is handled. Even if NinjaTrader goes down, the OCO orders should still be correctly executed.