For what little it's worth, I agree that massive enough asteroids should be terraformable. However, I also believe that when development time and priorities permit there should be sensible limits to things like how much atmosphere a given celestial body can hold, along with sensible limits to things like population.
I'd also like to point out that the "it's only a game after all" argument is silly and leads to some quite silly things if followed to its logical conclusion. The idea that things should be added to Aurora just because they're fun and because it is, after all, only a game could lead to things like unicorns, space wizards, and motorcycle mice. Any and all of these things might be great for some games, but they would be very out of place in Aurora in my opinion. I feel as though part of Aurora's appeal, the thing that it does that most other games do not, is that it makes a reasonable attempt at simulation. The critical word there being "reasonable." There are a few necessary concessions, such as the whole trans-newtonian spiel, but those sorts of immersion-breaking things should be done when development priorities deem them a necessity. The sillier and more far-fetched things become, the more Aurora starts to lose its most appealing factor.
At the end of the day, it's a question of balancing development direction against development resources. Both of which are ultimately up to Steve.
+1 for terraformable asteroids on the grounds that any celestial body that is capable of holding an atmosphere should have options for adjusting said atmosphere.