Of course they believe it's an existential risk. Maybe not as publicly as Anthropic but it is the dominant belief within OpenAI and they do describe this belief externally with some frequency.
Famously Anthropic exists because OpenAI didn't believe deeply enough in that risk.
I have it on good authority that OpenAI has become pretty existential-risk-pilled over the last month. But yes, it probably doesn't run as deeply in the culture versus Anthropic.
Fair point, it does seem to be changing recently. It seems less religious and more practical than at Anthropic.