2 - If coin mixing were ever to become "illegal" in a certain jurisdiction, people could still own NXT and use the platform.
It's hard to say. Logically, they could allow Nxt and disallow mixing. Is using NXT that once got shuffled any different from using NXT that were exchanged for a shuffled MS coin?
3 - There is no reason to burden NXT with additional complication when it can easily be extracted to another layer and still utilized for mixing NXT if wanted.
From what I hear, it doesn't much much difference to the code. Where-as requiring NXT to be exchanged for an MS coin before, and back afterwards, makes the shuffling significantly more complex for users. Which MS coin do I pick? What if the exchange rate changes? If I really want to shuffle Bitcoin, I have to exchange BTC for NXT and then exchange NXT for XOS, and then back again. It's like we're designing the most hard-to-use system we can.