Most people are only used to seeing two decimal places, so many front-ends such as Steemworld (and Steemit.com) have opted for the norm to not confuse people. As you mentioned, the internal Steemit system itself honors three digits of precision. 

The currency STEEM itself (native to the actual blockchain) allows 8 digits of precision as is the convention established by Bitcoin. You should be able to specify 8 digits of precision for STEEM on most exchanges. [By the way, if the value of STEEM massively increases, I would expect more digits of precision to be in popular use.]