It's possible the coins they sent you were 'change' from a previous withdrawal they made to someone else, and so they don't see the address in their wallet. That doesn't mean they don't control the address however.
The coins they sent on your behalf probably either came from a change address or somebody else's deposit address. In the first case they should still have your coins, but in the second case they will have been seen as a deposit by this other mtgox account holder, and may well have already been withdrawn by him.
I don't see how mtgox can claim that they don't control the address from which they made your withdrawal however. That sounds impossible to me.
Thats what I think too, here are the details the original satoshi dice transaction
http://www.satoshidice.com/full.php?tx=89c1f57cc943170a4d56fd10f75636f7c7a0ca3d1be66550962475046391457b
The address in question is 1CFVvAgicGheKxa3PedMgmw78LT5YXrk7a the coins were sent from mtgox when I did my withdrawal request.
I think everything can be seen from those links, now I dont know how MTGOX is claiming to not have that address in their wallet. Is there anything else I can do ?