You do realize that a multi-signature address on an exchange involves other issues that greatly impact usability as an exchange
Multi signature means both you and the exchange need to agree for funds to be spent. If the exchange is compromised in a way that does not let them use their own keys your funds will still be stuck.

Multi-sig cold storage on exchanges would be a neat feature for added trust but it would make a lot of things more complicated (try filling up a hot wallet from cold storage if you require the signatures from different users. You'd need a whole new scheme where a part of the cold wallet is still owned by the exchange which kind of defeats the whole point).

The bottom line is that if you want to be able to make fast trades in both directions (usd <-> btc)  you will have to place trust in the system to some degree because the blockchain can't help you here.

I would actually argue that currently for the majority of users it is best that an exchange handles their funds rather than sharing that responsibility (if you lose your key(s) for a multisig address on an exchange the funds are basically gone).

Transparency on how cold storage is implemented however is of prime importance. We'll see what bitstamp has to say soon and if they have done their job remotely well the damage should be minimal.

Btw it is clear that people can't withdraw if the hot wallet might be compromised. If I were running the exchange that would be my first reaction too. Stop all movements of funds until it is clear what is safe and what is not.