Well I think, having actually played Exalted, that if the GM keeps the artifact he was out of line. This is of course with the caveat that it was an artifact the player spent some of his character creation points on. If it was an artifact given to him by the GM then I feel it was perectly fine. Why?
Because the artifacts you create in Exalted aren't like magic items in D&D. If you spend points to create an artifact you are sacrificing some of your characters capability in something else in order to have the artifact. It would be akin, IMHO, to a GM permanently stealing some of your character's charms, abilities, or skils since you could have bought those with the points instead. I just think this type of behavior on the GM's part will only foster an attitude amongst his players where they won't purchase things like familiars, arifacts, etc. for fear they will be taken when they could spend the points on something else that can't be stolen. IMHO, expenditures of character points should guarantee a certain level of immunity from being taken, at least in a permanent matter, since it's in essence a permanent reduction in the characters power level.