Perelman's proof has been published, e.g. this by the AMS, which has a rigorous refereeing process for books, and this in Asian Journal of Math with a more controversial refereeing process.
Though Perelman's preprints appeared in 2002 and 2003, the Clay prize (which Perelman turned down) was not offered to him until last year, because the rules stipulate that the solutions to the prize problems have to stand unchallenged in published, peer-reviewed form for a certain number of years.
I'm not really familiar with the topic matter here, but I want to note that Michael Nielsen contradicts what you said (though Nielsen isn't exactly an unbiased source here as an Open Science advocate):
Perelman's breakthrough solving the Poincare conjecture ONLY appeared at the arXiv
The important point is that it doesn't appear that Perelman produced the paper for publishing in a journal, but he made it and left it on the arXiv, which was later (you claim) published in journals. That's quite a different view than "if it's not published, it's not science"
Recently, I gave some reasons for SIAI to begin publishing in mainstream journals, and outlined how it could be done.
I've recently been made aware of some pretty good reasons for SIAI to not publish in mainstream journals, so here they are: