MtGox has to run the trading engine all on one server.
In related news the entire NASDAQ must run on a single server because it is impossible for trading engines to span multiple servers.
NASDAQ trades many different securities. Each of them could theoretically be traded on it's own server.
Also, if I understand things correctly, you don't trade directly with NASDAQ. You trade with a broker who first tries to match your order against their own order book, then goes to other brokers to match your order against their books. So there's no real guarantee that you'll always get the best possible price or that orders are necessarily executed in the sequence they are received.