The day before the embattled cryptocurrency exchange FTX filed for bankruptcy, Changpeng Zhao, the chief executive of the rival exchange Binance, sent an alarmed text to Sam Bankman-Fried, FTX’s founder.

Mr. Zhao was concerned that Mr. Bankman-Fried was orchestrating crypto trades that could send the industry into a meltdown. “Stop now, don’t cause more damage,” Mr. Zhao wrote in a group chat with Mr. Bankman-Fried and other crypto executives on Nov. 10. “The more damage you do now, the more jail time.”