He's in excellent company, side-by-side with American filmmakers who've never won a directing Oscar like Orson Welles, Alfred Hitchcock (who was nominated six times, incidentally, and lost all six times--and wasn't even nominated for his masterpiece, Vertigo), Robert Altman, John Cassavettes, Charles Burnett, Buster Keaton, D.W. Griffith, Robert Flaherty...and that's just off the top of my head.
Not to mention the non-American filmmakers: F.W. Murnau, Carl Dreyer, Yasujiro Ozu, Mikio Naruse, Isao Takahata, Ritwik Ghatak, Raj Kapoor, Mrinal Sen, Jean Renoir, Robert Bresson, Jacques Rivette, Jean Luc Godard, Tian Zhuangzhuang, King Hu, Tsai Ming Liang, Hou Hsiao Hsien, Lino Brocka, Mario O'Hara, Mike de Leon.
In fact, looking at the list I just assembled, the non-Oscar winners are more impressive than the Oscar winners, and if Scorsese were to join the ranks of recepients of that golden doorstop, it would only improve their prestige, not enhance his.
I don't think the filmmaker who did Mean Streets, Taxi Driver, Raging Bull, King of Comedy and The Last Temptation of Christ needs any further enhancement of his prestige. The films speak for themselves.
So I still think the Oscars are a joke, and Scorsese's better off without one. He lost another one? Good for him.