The point that the examiners have is that SDNs don't have an access to the regular banking system through the account opening, so if they are paid/supported/financed by checks, they are likely to cash their checks as this seems to be the only unprotected gateway. I've looked at the SDN list - there are 62 US residents and entities there, and the number may be growing as the SDN lists are "enriched" by various mafias, etc. With about 7,000 banks in the nation, there is a 1% chance that an OFAC person will show up at your institution. And since they are possibly paid more than once in their lifetime (otherwise they wouldn't be important enough to get on SDN list), and they wouldn't want to show up at the same bank all the time, the chances are substantially higher, especially for bigger banks.
Just a little "devil's advocate" statistics exersize, but with the zero tolerance on OFAC violations, why take chances?