Actually, the FAQ contradicts itself. Based on the answer to this question...
Q. Are there any other fees charged when trading in multi-currency?
A. No. However, please be advised that there is a 2.5% premium when a trade involves orders in different currencies. However, this is not a separate charge. It is already reflected in the price you see.
Based on that it looks like there are indeed separate order books, but that all trades are reflected on other currency book (minus a 2.5% currency commission - which quite frankly kills the competitiveness of the order). So the moral of the story is that it's best to trade on the busiest currency. If you trade in Thai Bhat, don't expect to get your orders filled.
Bank fees.
That's way too high for a bank fee transaction, especially since MtGox is not actually doing any conversion until you cash out (and many opposite transactions will net out). More likely, they are discouraging currency trading on their platform, and pocketing the fees. Doing the math on the 8K wall for example, $127 / 1.3006 (EUR daily rate) * (1 - 2.5% commission) = 95.26 EUR (exactly where the EUR wall is). This makes the wall 2.5% less competitive in any other currency, and much less likely to get hit than on the USD order book.
or bank fees. money goes out -> transfer fee, gets exchanged -> exchange fee, goes back in -> transfer fee, you buy BTC -> Gox fee. I can see it reaching 2.5%.