I guess this is a major reason that no one has filed a police report yet. The police is likely to question the legality of the exchange itself.
That's a really depressing thought.
I have carefully analyzed Singapore financial laws concerning Bitcoinica's operation, and even though I can't say it's completely legal (because I'm not a lawyer anyway), it shouldn't break the laws seriously.
One big issue is laws in other countries. For example, the United States could probably find at least three Federal laws you'd be violating, and the United States is not shy about pursuing foreign businesses. They'll argue that by accepting United States dollars from people located inside the United States, you are intentionally targeting your service at the United States. I'm sure there are other countries that would try this as well. Heck, the United States continues to pursue executives of overseas web-based Poker sites even though they aren't violating any US law.
I always hear that there's no reward without risk, and I agree with that sentiment. But I didn't really factor into that equation that problem that if you fear you might not be fully legal, that restricts your ability to use governments when you need them.