You have to admit there is some friction between Bitcoinica and Gox that probably would not be there on a native exchange. The way things are set up now there are too many points of failure. As things stand I do not have confidence in my ability to reasonably, accurately characterize my risk on Bitcoinica.
Today being an excellent case-in-point. If everyone wants to short leveraged, Bitcoinica has to use its reserves to counter the leverage and always makes sure the shorters lose. It HAS to bet against its own customers, which is why we see these large swings. If you look at BTC days destroyed, it seems like an old miner could be manipulating Bitcoinica itself by continually flushing it of its reserves.