They don't need to, so I doubt it. That buyer wanted BTC (obviously). If they had tried to buy the same amount of BTC on another exchange, they would have paid more due to much lower liquidity at the other exchanges. MtGox was the cheapest exchange to use for this trade. And please name one exchange you think it would be safer to keep two million USD on.
How about cold storage? I don't think anyone keeps $2M on any exchange, you would be incredible stupid to leave that much cash at any one exchanges disposal.