Mt. Gox is a registered company in Japan with a physical office in Tokyo (Cerulean Tower, Shibuya) which pays taxes.

So yes, they are regulated.

P.S. if I were you, I'd be very pissed off, but wouldn't waste a cent on a lawyer. Keep in mind the company deals with $20k+ dark pool orders and huge withdrawals/deposits daily. Their motive to snatch 4k from you is irrational at best.

What you want is money, not revenge. Keep bugging them about it until they send the money.

Or you can even send documents to Macaraja SAS in France and prove your identity; They'll have no choice but to send it. Remember EU anti-money laundering regulations are much stricter than american ones. Banks often have to report even sums past 2,500€ so it's natural they're just covering their own bases.

This is why I never withdraw more than $1000 at once.