Perhaps the built-in round should be modified to work with Decimal ...
Eventually, it should -- and many other changes throughout Python, outside of Decimal, should also be made. That won't happen for the first release, though, and possibly never if Decimal doesn't become popular.
+ Float format codes, like %20.6g, make fine sense for Decimal, but feeding them Decimals won't do any good.
+ A Decimal version of the math module doesn't exist.
+ Looking up context all the time is expensive, and should eventually become part of CPython's C-level thread state (much as your FPU's context register(s) are part of your C's runtime thread state).