Just found something funny:
Looks like My Book World don’t even fully support standart size MTU not talking about big size Jumbo frames like 9K.
According to comment in following article - http://www.maximumpc.com/article/howtos/how_enable_jumbo_frames you can test Jumbo frames with this command:
ping -f -l <mtu size> <ip of lan machine with most hops from the one you're pinging on>
So I entered ping -f -l 1500 MyBookIP and got that message "“Packet needs to be fragmented but DF set.” suggesting that value I entered is not supported.
Also I tested various size Jumbo frames with My Book World and found that setting it higher than 1500 actually slowed down transfer speeds. (when testing, of course I set same value in other devices in my LAN, so that should not be a problem).