I think you're asking in part about who owns your course and the student data. You own the course you produce, and are free to host it on other platforms as well (there is an exception if you are picked up by the Udemy for Business catalog, in which case they will require exclusivity to Udemy. They still don't "own" your content, but from a practical standpoint they do in that case.) Udemy however owns the students; you will be expected to answer the questions they may have in your course, but you can't leave Udemy and take Udemy's students with you. You're not given any of their personal or contact information.
As for the bigger question of how to make $500K on Udemy... well, I don't have a recipe for you, as it involves a good deal of luck and being in the right place at the right time. If you look at instructors who have reached that level, you'll find most got started on Udemy many years ago, when there were far fewer instructors on the platform to compete with. So, it was easier to find in-demand topics that had no or very few existing courses you had to overcome in the marketplace. I don't know your particular expertise, but if it's something like technology where there are new emerging topics all the time, then it's still possible to move quickly and be the first to market with a comprehensive and well-produced course. Doing that repeatedly would be the key. If there is a specific topic you're considering teaching, I'd advise you to use the Marketplace Insights tool in your Udemy instructor view to deeply research the level of student interest in that topic, the existing courses you are competing against, and how much those courses are earning today.
Remember Udemy is under no obligation to make money for you. They are merely a marketplace. It's up to you to make quality courses in topics that are both in-demand and underserved. The reality is that most instructors make very little on Udemy, a fair amount earn some nice extra cash, and a few are able to live off it comfortably full time. You could probably count the number of instructors earning $500K in one year on your fingers.
I also want to set expectations that you will on average only earn $1-$3 per course enrollment on Udemy. That's something that took me by surprise after publishing my first course. So to earn $500K, you need to create courses that hundreds of thousands of people will purchase. The sorts of topics that attract that kind of volume are already saturated with existing courses, but if you made enough courses on emerging topics that tens of thousands of people might buy, it can still add up over time. It just takes a lot of work, talent, and very careful topic selection - and you have to be lucky enough to have the expertise to teach those topics yourself.
