There have certainly been attempts at creating virtual currency exchanges but none have gained any traction because they violate the terms of use (TOU) and/or end user license agreements (EULA) governing the vast majority of virtual currencies.

Generally speaking, most virtual currency provider's will explicitly prohibit the exchange, sale or trading of their virtual currency in any form outside the game or website in which the currency was earned. Most TOUs and/or EULAs will also disclaim any and all user's ownership interest in a virtual currency regardless of whether the currency is earned or purchased.

Through the TOU and/or EULA provider's generally reserve the right to suspend, cancel, modify or void any account that is associated the unauthorized exchange of their currency.

Until a sufficient number of virtual currency provider's allow the exchange, sale or trading of their virtual currency it would be very difficult to envision how someone could make a go of providing a Virtual Currency Exchange despite the obvious demand for such a business.

An exchange would be a cool idea; but the reason that most of the sites that use virtual currency don't allow users to transfer the virtual funds stems from efforts to prevent fraud and what was coined "gold farming." It would be very interesting to see virtual currency prices driven by open market demand.

In terms of the the existence of an exchange being a requirement; I don't think thats really true. Foreign exchanges are needed because of trade of goods between entities required it. As there is currently no way to trade between entities/any reason to trade virtual goods between many of the systems, the virtual currency driven economic activities do not demand a currency exchange...yet.

Take a look at http://firstmetaexchange.com/exchange/quotes