Thanks for putting that exchange to light. I realized Cryptsy doesn't seem to know how this works. However, their last support email that I received, after BigVern's reply above, was
"I promise you that we don't want to steal anyone's coins...
I'm talking to Vern about this now, and will let you know the solution.
(I realize steal was a strong word, but I don't think there was any other way to get their attention!)
Even though exchanges might have to go through an additional step, I think it is only fair that they make the distributions to their users (yes, I agree holding the coins yourself is the best way). Same goes with other PTS exchanges like Bter. I don't see a terrible cost to the exchange, honestly. The procedure should be fairly straightforward. Worst case, they could take a fee of 5% of MMC and give the rest to the users.