I tried to send some of my crypto from the exchange I use to my Trezor and the exchange blocked it and said it’s under review. It might take them days to get get back with me and so my question is, does my Trezor need to be connected for the transaction to go through? I don’t think I can keep it connected with my computer on for days. Any help would be appreciated.
No, any transaction will go to the blockchain, not your Trezor. All your funds are stored in the blockchain(s) and your Trezor is only a key to access the funds. So you can unplug your Trezor and when the transaction is completed, connect your Trezor again and run a new Discovery on the blockchain.
Note that if you use the Remember function on the wallet then it won’t run a new Discovery process. If so, turn OFF the Remember function to update your wallet with the new transaction.