Unlike a painting in a museum, which we must trust to be the original, it is very easy to check the authenticity of an NFT and to know in which wallet it is kept. Practically, anyone can do it.
For example, in the following link, you can see a tutorial on how to check the authenticity of an NFT in the SPOZZ Marketplace. Indeed, anyone who knows the existence of the network to which an NFT belongs and how to check the movements on it, will be able to check its veracity and to whom it belongs.
The accounting of the networks on which NFTs operate is open to the public, so with just access to the Internet, it is already possible to do so.
Since it is easy to verify the authenticity of an NFT, it is advisable to take advantage of this possibility to avoid falling into scam attempts and always cross-check, for example, that the NFT you want to buy belongs to the real collection.