No. If there were no exclusive games then one system would dominate the market. A lack of competition, in the long run, is a very bad thing.
First party exclusives allow each console to have a share of the market. They are the reason the PS3 was able to rebound. They are the reason the Xbox was able to differentiate itself in the first place.
Let me put it this way: if there were no first party exclusives then there would be no reason for console manufacturers to use the games themselves to sell their hardware. That means there would have been less reason for Microsoft to invest in Halo, for Sony to invest in Uncharted or God of War. There would be less money coming from system makers to finance second-party games on PSN and LIVE. Without exclusives, some of these games would never have seen the light of day.
So, yes, while it's less convenient to have console exclusives titles, in reality it's actually a good thing in the long run. It means more money in the industry, more competition, and more games.
