Note that people bid at auctions not to get coins at any cost, but to get coins at a good price. If someone wants 10'000 coins, and he can get them off exchange for 300$/BTC, it makes no sense to bid for more than 300$/BTC, even if he expects that there may be higher bids.
Well you avoid slippage, and I imagine it would be less of a pain in the ass to buy them at the auction than it would be to trust these random exchanges with all that money and wait for bids to fill. I imagine that would make it so bids close to market would be feasible. Not so sure about bids that are slightly higher than market, and I'd say bids significantly higher than market probably should not be expected.