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.
They won't be able to buy 2 million USD of BTC with their USD in cold storage. Should they show up at MtGox's door in Tokyo with a couple of suitcases (or a fridge) full of dollars and buy BTC?
Large traders don't need to worry about the fee schedule. They are in the lowest tier already, and MtGox is the only exchange where they can do large trades without moving the price too much. It is the only exchange which they can trust a decent amount of money to as well. Small traders may worry about the fee schedule. The number of USD they need to trade to get a lower fee has increased quite a bit.