Exploits, bugs, cheats, unintended features, all are meaningless terms in any game, both single player and multi player. There is no International League of Video Game Scrubs which decides exactly what techniques are "fair" and which are "cheap". If it is possible in the game without hacks or 3rd party mods and you have no additional rules set up before the game starts, anything is fair game. If you avoid anything that you deem "cheap" you are only limiting yourself and will never be able to enjoy the game to its fullest.
It is not as if the developers want you to avoid any of these "exploits" either. The best example being combos in Street Fighter. They were an unintended feature in Street Fighter II. But instead of whining that the people who used combos were ruining the game, as several of you appear to think developers do in such a situation, they noticed the potential in such a feature and continued to put combos in their future games. You are not the developer and if you think you know how they want you to play the game, you are being ignorant.
But I don't understand why people keep singling out Danger Rooms. Danger Rooms make the game easier, yes, but they are not the easiest defense by far. An optimal Danger Room requires you to use ten training spears for each tile. That means you have to use 10 units of wood for each tile, as well two units of stone for the mechanisms and another unit of wood, stone or metal to assign the barracks and one unit of stone to make the lever. Because you need wood to make beds, charcoal and lye, wood is one of your most precious recourses early in the game. You also need to use 6 to 8 units of metal per soldier to create the equipment. It is a waste to use about 100 wood and 40 metal this early in the game, not to mention all the time your dwarves have to waste to set up this entire thing.
There are many far more efficient defenses, such as trap corridors, cage corridors, atom smashers, single tile wide bridges with weapon traps/menacing spike traps on them, hunters, drowning traps, freezing traps, cave in traps, retracting bridges over pits or simply even sealing off your entrance. If you look at the input/return, using an army trained in a Danger Room is one of the less efficient ways to protect your fortress. It is only a good idea if you plan to take on the HFS. And even then a corridor filled with menacing spikes on repeat is far more effective.