So I played some SatoshiDice from MtGox, as I was a newbie and their system provided no warning when I put a 1dice address in.
SatoshiDice sent me back around 700 EUR (one of the lucky bets txn is below).
Of course I never got that money, as I found out later the return addresses MtGox provides are not tied to your account, and the money appears somewhere else within MtGox-operated accounts network.
A Bitcoin exchange can't work any other way. Otherwise, every single trade would have to be accompanied by a blockchain transaction to move the funds to "your" address.