I saw that as well. There's actually quite a few products by Linksys that have those setup wizards. I bet there's more products that are susceptible to the same kind of 'attack'.
Of course, the only real issue is this is that most of those setup programs only work on the same subnet as the device, so someone would have to be physically on your LAN, or exploit your wireless.
It would probably be wise for them to configure their devices that they don't respond to the setup Wizard unless they're currently in their default state, but once you make a single configuration change to it, it no longer responds.