Same issue here. Mail continues to check email in the background, or get email "pushed" to it even though everything and every account is set to manual checking. Don't understand what I'm missing, but it seems like a bit of a multitasking bug for Mail if you ask me. I don't really want to hear the new mail sound bite every few minutes unless I specifically ask for push/fetch email.
The only way I've found to stop it is by "quitting" Mail from the multitasking task manager. Double tap home button to bring up task manager, hold finger on any icon until the icons start to wobble, press on the "-" symbol on the Mail app to remove the app from multitasking.
This stops Mail from always checking for new email, but it is hardly an ideal solution. Could also turn off the audio for new email, but this doesn't really stop Mail from checking for new email.
Hopefully Apple finds this little bug and updates the issue for the next iOS 4 update. Hopefully....