On a related note, there's already a Bitcoin ETF on the Swedish stock exchange: http://xbtprovider.com/
Historically this was not an issue but the collapse of Lehman Brothers, AIG-FP and others made it clear that owning assets is preferable to someone making a promise to give you those assets.
In addition, a synthetic ETF the company doesn't own the underlying exactly (but some portfolio which perfectly replicates it) - which is again slightly different from a Note I think but still has counterparty risk in there.
OK -- to clarify my original comment -- ETNs DO NOT own the asset. The issuer of the ETN promises value equal to the asset, but that promise is worth only as much as the Issuer actually is good for. In cases like Lehman's bankruptcy, the promise would need to go through bankruptcy like any other promise. Thus, ETNs are like debt linked to an asset index rather than an interest rate/index. So not only are you exposed to the risk that underlying/linked asset loses value ("market risk"), but you are also exposed to the risk that the underlying/linked asset does fine yet the Issuer cannot make good on their promise ("counterparty risk").
With ETFs, on the other hand, the fund (and hence you) generally own the asset, but even then, some ETFs are slightly different in that they actually own derivatives on the assets such as futures. They are almost the same since futures are daily-settled. ETNs are not daily-settled thus carry longer-term counterparty risk.