In the long run, if they are really doing arbitration trades, the yields are going to go way down as the markets mature. Of coarse if an exchange they are trading on goes under, there could also be a large loss.
Yeah that's a risk, although they had the foresight to get out of Mt. Gox well before it went down, so they're no dummies. If one of the exchanges they use goes down, it'll affect a LOT of traders...so that's just one of the risks of trading Bitcoin online, period. BTC-e is totally anonymous and is still running fine, while Mt. Gox required account verifications and is in Chapter 15 now, with hundreds of millions lost. It's the wild west out there, right now.
However, New York just started taking applications for regulated exchanges to register there and that's going to add a new wrinkle to all of this, when those exchanges launch. I think it's likely that even more arbitrage opportunities with foreign exchanges will open up, because of that.
But yeah, long-term as the currency stabilizes in price, the exchanges will start to get a lot closer together and arbitrage won't be viable anymore...but I don't see the volatility decreasing until it's been widely adopted and the markets are a lot harder to move...and that's going to take years.
