Using past tethered to untethered jailbreaks as a reference, no they will not disappear. The untether could be as simple as a Cydia package or rerunning a new version of redsn0w untop of your current jailbreak.
If not redsn0w then some other utility like greenpois0n. For A4 and older devices, it could be done via a greenpois0n like utility or redsn0w as they would use the limera1n exploit. They could also simply post the jailbreak as a type of patch on Cydia that would untether the device. With only the jailbreakme.com jailbreak having jailbroken an A5 device, I am unsure how the jailbreak is accomplished on A5 devices, due to their lack of a bootrom exploit.
So if 5.0 is untethered using something like greenpois0n or limera1n, can you still untether it over the tethered considering it was originally done using Redsn0w? A cydia patch would be awesome.