Better would be a new feature that tells the mining bitcoin "please credit generated bitcoins to THIS address (instead of a new one)."
Yes, please please please do this. It would be much saver having a miner mine to an air gapped wallet than being forced to mine to an online wallet.
My rigs are in a server room and I would feel saver if I could run them without a wallet worth 1000$ at a time on it each time it hits a block.