The filter method works but is very onerous. Going forward I find myself using widgetized sidebars for everything, and having shorcodes in there just makes sense!
Having a setting for shortcode parsing in widgets would mean that plugin devs don't have to create a widget, they can just give a shortcode that doesn't break as a shortcode in text widgets!
I don't think making shortcodes work by default in widgets will hurt very many people due to the content already in their widgets, and for all future text widgets it will be very very useful.
If shortcode parsing isn't the new default then there should be a setting to make them work. Logically it would belong with the checkbox for paragraph parsing on each widget. Personally I think having a setting deeper in WP would make more sense, as setting this for a whole site will almost always be a possibility.