You can margin trade on BTC-e as well.
Considering BTCE's liquidity, I would highly advise against that. MT4 and BTCE are notorious for flash crashes into thin books. It would be very easy to lose everything on a price spike that doesn't happen on any of the other exchanges. For this reason, I mostly use my funds on BTCE to trade unleveraged, and keep very low bids all the time to catch any flash crash.
Finex is the highest liquid market in the past and has seen flash crashes as well.
Not as many. But more importantly, as you admit, BFX is a much more liquid market. And even so, its traders are alarmingly over-leveraged, always, in comparison to its book. This is much more so the case with BTCE, so your risk is exacerbated there. More so, I don't believe we can do swap analysis on MT4 as we can with Bitfinex swaps. The two 10k + non-margin sells near the $250 level that preceded the recent flash crash, taken in combination with outstanding USD swaps, made it clear that holding leveraged longs at that time was extremely dangerous. No one could have known the flash crash was going to happen then, but we all should have known that it was very possible.