Mt. Gox did exactly what your actions instructed them to do.  They processed your withdrawal request and sent your coins to the address you specified.

It would be a nice service if they did block withdrawals to SatoshiDICE addresses, certainly.  But they don't.  And there isn't outrage by the community because Mt. Gox having to add protections for you costs money, and you don't pay for that we do as it gets added to our trading fees.

I want low cost trading more than I want guard railings.

Bitcoin is a non-reversible payment method.

Non-reversible.  Low cost. That's why it has value.