• Receipt of insurance is contingent on meeting requirements for insurance, so it's not blind assistance in the face of incompetence. The 3 years of account thefts reported to have occurred at Mt. Gox would, hopefully, have been detected. Even collaborating on more secure storage and trading systems. There's a precedent for this: it's how the large credit card companies (BankAmericard, I mean, Visa and Interbank/Master Charge, I mean, MasterCard), were formed.
• Rates would correspond to perceived risk, providing a market feedback mechanism.
• Some risks are incidental and random. Weaknesses in protocols, problems in network or technology stacks (independent of individual exchange software).
• The end result is a greater level of trust in the entire marketplace as a whole, so: more transactions, more members, more profits.
Maybe the exchanges can join together and offer something like FDIC Insurance?