If you buy your ETF from DBS/POSB itself, when there are dividends given out, where is it deposited to? Do you have to still create a CDP account? ?

Assuming you are asking about POSB's NIKKO AM SINGAPORE STI ETF, monies from coupons, dividends, cash offers, rights issue, and other corporate actions will be credited into your designated DBS/POSB debiting account. Do note there is a dividend instructions in your account to select with account to credit to.

For DBS Vickers, you would need a CDP account if you want to trade SGX shares so so that the shares can be deposited in there once it has been linked. The dividends credited would be determined by the bank account you assign for CDP's direct crediting service. As for DBS/POSB Investsaver, you do not need a CDP account and the dividends are credited directly into your DBS/POSB accounts.