Question: When I play Modern Warfare 2 using anti-aliasing on my Macbook Pro and no monitor, the game lags too much to play.

But lo and behold: When I plug in a monitor to my Macbook Pro and turn on AA and put all textures to high, the game runs just fine.

Why is this? why does plugging in a monitor improve performance?

EDIT:

Without the monitor, I can run the game at medium resolution, but no VSync and no AA (but medium specular)

With the monitor, I can run the game at highest resolution, no VSync, 2x AA and medium specular unless there is lag.

Answer: 
The driver uses dynamic performance levels depending on the card's load, which causes lag when switching from a lower level to a higher one or the other way around.

But when you use 2 monitors, it sticks to the max level, so that's why you see improved performance.

While I observed this on Linux, I'm fairly certain it applies to OS X too.
I would ask, "How do you know AA is still enabled?"

When you plug in an external monitor, the GPU has to allocate more memory for frame buffer. Because anti-aliasing requires quite a bit of memory, the frame-buffer memory allocation might disable anti-aliasing.

If anti-aliasing is being silently disabled because of limited frame buffer memory then the game will render much more quickly.

I am not sure how you check this. Perhaps you can find an angled object in-game to observe and compare with and without the external monitor.