They'd still have their money if they had just avoided BTC altogether. You, as an end user, are probably never going to be in a position to really make an informed judgement about any particular exchange, the validity of the protocol, or much else, really. The latter things you can feel reasonably sure of because they've been vetted by a lot of people, but there's always the possibility that someone has missed something.

http://en.wikipedia.org/wiki/Information_asymmetry