I agree. Exchange failure is generally something separate from "market risk", and is sometimes categorized as "counterparty risk". With bitcoin, counterparty risk with exchanges is a very real thing, and an added risk beyond what would be considered "market risk" (i.e. asset price fluctuations).
You're absolutely right: some exchanges are systematically divergent. It has been the case with BTC-e for a long time. This is not natively handled by the software.
The long/short mechanism overcomes the market risk (i.e. risk of losing money due to market moves) and reduces the slippage risk, but not the other risks, like technical issues on an exchange.
