I believe you misinterpreted my statement. To further elaborate, when you visualize an IJ under US you will frequently find that it is only slightly below the skin surface (1-2cm or less) and therefore you need to traverse less soft tissue than for a femoral vein puncture where you may need to traverse 4-5cm of soft tissue. Under those circumstances you can often get to the IJ more readily under US visualization or guide someone to the vein more easily if you're not driving the needle yourself. Once you have cannulated the IJ, fed the wire and removed the introducer needle you can often limit the amount of bleeding/oozing around the catheter by not advancing the dilator more than minimally to dilate the top layers of the epidermis and instead using the actual catheter as a pseudo-dilator. This works as the dilator is a larger bore than the catheter that follow it. This approach works better in the IJ position than femoral because you do not necessarily need to dig all that deep before the catheter enters the actual vein.
With regards to the complication of an arterial puncture it depends on whether you've punctured, dilated or cannulated the vessel. In this particular instance with a low platelet count I would favor leaving an asymptomatic arterially placed TLC in place and consulting vascular surgery for a vascular closure device. Before that point in time I've never seen equipment left in place (introducer needle, wire, dilator) as none of it could be reliably secured during patient transport to the cath lab, OR, etc. not to mention that the hole you've left in the artery to that point is usually smaller (except for the dilator if you've dilated the actual vessel by accident). There are risks to both immediate removal with direct pressure and delayed removal with surgical closure. I believe there's sufficient literature that backs up delayed removal with vascular surgery consultation:.
Guilbert MC, Elkouri S, Bracco D, et al. Arterial trauma during central venous catheter insertion: case series, review and proposed algorithm. J Vasc Surg. 2008;48(4):918-925; discussion 925.
Shah PM, Babu SC, Goyal A, Mateo RB, Madden RE. Arterial misplacement of large-caliber cannulas during jugular vein catheterization: Case for surgical management. J Am Coll Surg. 2004;198:939–44.