Banksy "commenting" on the nature of art and the art market is a major theme of their work (and has a long history in modern art, going back at least to the Armory Show where Duchamp submitted a signed urinal as sculpture).
This incident has a lot of unknowns. Who sold the work? Who bought the work? Was it insured?
It would be a bit obvious that something was off. I have hung a lot of paintings, and the mechanism might not be visible, but it added to the weight and changed the center of gravity of the work. It would be clear to the art handlers that something was inside the unusually deep frame with the sealed back. With Banksy, that would add to the intrigue.
Having the mechanism go off right after the auction indicates that Banksy or a proxy was watching (and probably operating a remote). It also made the ownership question complicated. The painting was in the middle of a transaction: the gavel fell, essentially creating a contract between the buyer and the auction house as agents of the seller that would be completed at the transfer of payment and physical custody of the painting.
If Banksy was the seller, they gave the buyer space to back out since there was no transfer yet. They could decide then to complete the sale or not.
If Banksy was the buyer, then they would be fine legally if the sale is completed, since that would transfer title to the party responsible for shredding the painting. The seller still gets paid.
If Banksy was the buyer AND the seller (which I would bet real money is the case) then the only party who stands to lose is the auction house. As long as they get their fees, everyone is made whole.
If Banksy was neither the buyer nor the seller, then there is some legal exposure (but it would be an interesting question since European law grants more rights to the artist after a sale than most of the US aside from California and New York). But the incident would, as noted, potentially increase the value of the work. Most people active as collectors of modern art would be hesitant to press the issue absent a complete loss (say, burning the painting to ash). If anyone were to submit an insurance claim, then we would have a messy legal situation, which would be more complicated if the value goes up.
Banksy is almost defiantly the seller, at the very least. Any other buyer in the high end market would have had the work cataloged and documented for insurance purposes. The mechanism adds weight and bulk, and it would have been noticed no matter how they tried to conceal it. Plus Banksy says the shredder was placed "in case it ever went to auction" but had to know that the batteries would still be good for the stunt to work.
And despite the many comments here, I would push back at the characterization of collectors in the modern art world as uninterested speculators. In Columbus especially, we have a number of collections donated to the Columbus Museum of Art and the Wexner Center that were personally curated by wealthy collectors. You can tell that Columbus is more "new money" because our cultural institutions tend to be more committed to modern art, while Cincinnati and Cleveland have more classical art. Wexner in particular (founder of Limited Brands, which has owned Victoria's Secret, Lane Bryant, Bath & Body Works, Abercombie & Fitch, and a number of others) has personally built a collection which he then donated to the museum on the OSU campus that is named for him. (Wexner was also in the news recently for quiting the Republican Party after a conversation with Obama). Many collectors are passionate and knowledgeable about modern art, and interested in more than just the dollar value of their collections.