You're starting down a slippery slope there. Sure MtGOX has full access, but we have no idea whose account the money was credited to. He may have traded it already or bought a pizza with it! In Banking, transactions are reversible, but Bitcoin is built not to be. You are requesting that MtGOX start acting like a bank and go into someone's account to retrieve the funds. This is not a good road to go down. I would agree that MTGOX should credit you had THEY been the ones to make a mistake--that is to say, had you transferred in BTC to your GOX account and they credited it to the wrong account. I would agree that MTGOX should eat the cost there and credit you with your BTC that you rightfully deposited, but since they made no mistakes they should in no way be liable for your loss. It comes back to the fact that you did not follow proper deposit procedures (only depositing to an address that is assigned to you).
MtGox, however is a real company and operates under Japanese law and international trade agreements. The company is still liable to the customer in more ways than they'd like to be, even if tries to set its own rules -- the law always takes priority. Your analogy is not quite the same, because bitcoin are a lot more traceable than that.
Speaking of slippery slopes, BitCoin is about trying to get away from regulation and nanny states. Why would an exchange start popping up messages warning people not to send money to certain addresses. This once again starts down a steep slope. Do they do it for all gambling sites? What about doing it for known scam sites? Where do you draw the line? It's up to each user to do the due diligence for himself to figure out whether he wants to do business with any other user and this includes reading the warnings posted on both sites about compatibility issues.
Can BitCoin stay unregulated for much longer? Money laundering won't stop by itself, as everyone chooses to avoid tax when the risk is low and the tax is high. Since it seems that somebody has already figured out how to artificially scatter transactions so that they effectively become untraceable, the are many ways to launder money with this...