Are "do you think" embedded questions exceptions?


In most embedded questions, the "Wh" portion of the question stays grouped together with the rest of the converted question (e.g. "What time is it?" becomes "Could you tell me what time it is?"), the rules seem different when "do you think" is used (e.g. "what time is it" becomes "What time do you think it is?").
Is this splitting of the embedded question with "do you think" a unique exception, or is there something I'm missing? This would be great to clarify!




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