There's been a couple of threads on the topic of the lack of a UK-based exchange just in the last week:
The UK Public & Bitcoin
https://bitcointalk.org/index.php?topic=176717.0How to solve UK Bitcoin Exchange Problem?
https://bitcointalk.org/index.php?topic=177059.0Seems to be a general consensus that keeping the banks and the regulators happy may just be too hard/expensive.
Having said that, if buying bitcoins is treated broadly like sending foreign currency abroad then it occurs to me that there's tons of tiny little money remittance places all over London (often run out of the back of an ethnic food store / internet cafe) that let you send money internationally (often to somewhat unstable countries!) - surely they can't all have paid vast sums of money to register with the FCA?