Keep the current system in place. It allows for there to be a server economy. Most players don't DC/CW travel for competition unless it hits a threshold suitable to their needs (maybe saving 1M gil on a mount is worth traveling to another server). But for many items like crafting materials, potions, food, gear - I bet the average player checks their server and if the prices "feel reasonable" - they just pull the trigger anyway.

Can you imagine the undercutting-fest there would be if there was one unified MB? And how often you'd go to buy the top item and it would already be gone since a thousand other players are trying to buy the same item off the MB?