Taking control of the wallet.dat file with a web wallet is certain to start the NSA and other authorities salivating. Why add anonymity code to a decentralized market if it is not so anonymous on the market side after all?
It will keep the actors honest.
The abuse of the NSL's is what took down lavabit, silent circle and other neat creations that weren't exactly fingered over all for less than legal activity. The best security is based on the design now days with regard to what can happen, and that is not necessarily coder driven.
I am sure the team will jump in here, but again, the new wallet uses HTML for its UI and local HTTP. This is for extensibility/portability. It is not automatically a vulnerability. If you're concerned about the NSA or bad actors you can easily run it on box/VM with network controls in place (only opening ports to known good nodes, no traffic over port 80, etc)
Any website which offers a "buy now" option, can also have its blockmarket items purchased directly from the wallet just by searching the blockchain for offers with the same name/description. So you don't even need to initiate your purchase from a website.