There is a slight risk that some other party will take the other side of the trade because the exchange computers perform the order matching. Thus, fooling around with dummy trades in a trending market could expose the dummy trader to the trend - its not entirely risk neutral. So I expect that such dummy traders have been burned in the recent Mt Gox downdraft and either liquidated - if thats where they want to be, or holding current positions - if thats where they want to be. To put it another way, by conducting dummy trades that have a chance of non-dummy fills, the dummy trader takes the unintended risk of real trading.
Actual market markers are not trading with themselves and their market-making behavior is more efficient when there are zero commissions, as is the case with the conventional FOREX (foreign exchange) market. I applaud the lower and zero commissions at Mt Gox.