LOL!!!
I just accidentally brought satoshidice shares on Bitfunder at 0.039 instead of 0.0039.
Wow, that's a stupid mistake but luckily I only lost less than a dollar since I brought 2 shares

Are you saying your buy order did not get the lowest offered shares available? Wtf. The operator keeps the difference?
I assume that it averages the two orders (liquidity provider and liquidity consumer), which is both standard and fair. Warning should have been given though, given the amount at stake.
Fair? If i bid 100 dollars for 3 bitcoins at mtgox, mtgox fills the order for 3 bitcoins at the going rate and i keep the remaining usd.How should it be different? Operator gets a percentage cut of amount used in transaction or a set fee. Not keep whatever is left plus any other fee.
I would dig deeper into that and get your full amount of sahres you can fir the money spent.