Yes, this may be possible issue. Malicious distributor can buy few devices, make alternative PCB, use modified firmware and pack it with "official" casings. There's just a small chance that customers will notice the difference. Buying the device from trusted distributor would be better choice than ordering it from random guy on Silk Road.
Technically this is not a big problem as device itself cannot communicate with the world on its own. So as far as user will connect that hacked stick into official release of Bitcoin wallet (Electrum, Multibit), the chance of a theft is minimal (as far as official clients will cross check signed transaction if it has not been modified by the stick itself).
By the way, there has been successful hacks with modified USB mouses (given to company employees as a gift). Mouse acting as mass device with autorun file and 90% of Windows users are screwed. This is a problem of "universal serial bus", unfortunately using USB is the only reasonable choice if we target to common users.
That's also the reason why we're building Raspberry Pi shield for hardcore geeks; it is much easier to recompile everything from sources to be sure there isn't any malicious code.
How about we reduce the "talking" between the wallet and the computer as much as possible?
The same problem is/was with electronic banking and tan(-passwords). It is now solved via a small device which signs a transaction (via your banking card, which you put in). The bankingsoftware/bankpage produces a challenge. It comes as a "flicker code", which the device reads in directly from the screen. You see the transfer details on the devices' screen to verify. The device then "signs" the "transaction" and shows a generated tan on its screen. You type the tan into your software/page.
The software easily finds out if anything was altered, because then the generated tan doesn't match, and/or the info on your (infected) computer and on the devices' screen don't match.
I love that thing! Quick, easy, and pretty cheap hardware - five photodiodes and some software.
https://upload.wikimedia.org/wikipedia/commons/d/dc/ChipTan_comfort.gif
https://upload.wikimedia.org/wikipedia/commons/f/fa/SmartTAN_optic-Gadget.jpg
https://www.youtube.com/watch?v=U7PnC1S-j4I
Yes, we have a slightly different setup here. Maybe some nifty idea comes out of this?
Ente