The unspoken underlying fear is that one might have their funds disappear and be in a "he said she said" war with Gox as to how the withdrawal actually occurred. If MtGox adopts policy and procedures that ensures that all withdrawals can be positively accounted for, and that instant withdrawals to arbitrary addresses are easy to limit, it literally reduces the customers negative fear of unauthorized withdrawal.
Doesn't seem there's much better a way to do this than PGP really.