Asking once again. Do you use a Yubikey on Mt.Gox?
As Ive said in the past, I do not believe that they improve security.
They do not prevent every kind of attack but they stop entire categories of attacks. You are wrong on this one and should think about it a bit more.
They stop entire categories of attacks which not everyone is especially prone to. SSO is a nice to have and very worthwhile in a lot of cases, but it introduce yet another layer of expense and complexity. I don't use one at my exchange but I am quite careful about my username, password, access methods, etc.
Most importantly, I do consider the funds I have at my exchange to be disposable. I consider the risk from incompetence, dishonesty, and government intervention to put the assets I have at my exchange at risk more than my authentication being compromised. A good number of people would be well advised to NOT follow suite here.