Yep, that's the specification of Ethereum blockchain technology. I think that buyers and sellers on GAT exchange would have to pay gas fees on their own.
As you may have noticed if you traded on EtherDelta recently, when the Ethereum network is congested low fees can delay your transaction for hours. The amount of gas fee is crucial for the speed of the transactions. I think for most casual users quick transactions are more important than a saving a few cents while the transaction is stuck in limbo.