That's very interesting ... As I know, satoshidice does exactly the same ... They send the won bitcoins to the sender address back.
I havn't heared of any problems yet ... Do you know more you could tell me about?
There have been a few topics raised by people who sent money from a Mt. Gox (or other similar) account to SD which means the returns went to Mt. Gox rather than the user (and apparently there are warnings on the SD page about not using web wallets).
*edit*: ah, here is a interesting discussion about ... it seems you are very right and I should give the opportunity to specify an address to which the money is sent after being
processed by my engine ...
https://bitcointalk.org/index.php?topic=77870.120Yes - that would be the much preferred approach (and *please* don't send back 1 satoshi + fee *signals* like SD does when you lose).