So wouldn't the solution to this be to not transfer the money between countries? Ie. have a different exchange in each country and then an exchange would only need to store (and not transfer) the users' funds.
no, the problem is not transferring money to another country, the "problem" is storing your value, your credit, like a bank.
when you transfer 200 $ to mtgox , you got a credit of 200 $ in mtgox, and you can also withdraw them, they are attacking on this point, storing money, to make it simple.