GateKeeper allows me to install anything, no checks are done I can download applications from custom websites, and run them, even when my gatekeeper settings are at "AppStore Only". This is my application -- it's not even signed. 

What could be the reason for that? I can reproduce this behavior on all my 3 macs.
Downloading a file over SMB will not trigger quarantining, and since the app is not quarantined the gatekeeper policy never gets checked. I'm not sure why it's being marked as quarantined on your other computers...

To check for quarantining at any point, use the ls -ld@ command to look for the com.apple.quarantine attribute:

$ ls -ld@ /Applications/TextWrangler.app
drwxrwxr-x@ 3 gordon  staff  102 Apr 30  2012 /Applications/TextWrangler.app
    com.apple.FinderInfo     32 
    com.apple.quarantine     57 


If that quarantine attribute is attached to the app, the gatekeeper policy will be checked; if not, it won't. The interesting question is why it got quarantined on your other computers, and if you use this command to check the application at various points as you distribute it, you can figure out when the attribute is getting attached (and therefore why it's getting attached).

EDIT: There's a note relating to this in the "Click here for more details" section of Apple's KB article #HT5290:


  Important: Developer ID signature applies to apps downloaded from the Internet. Apps from other sources, such as file servers, external drives, or optical discs are exempt, unless the apps were originally downloaded from the Internet.