PlayStation 3 games are, indeed, region free. The region marking is on there to show what area the game you have was originally made for. Your PS2 games, PSOne games, Blu ray movies and DVD movies will not work however- they are still region coded. Most of the PS3 games have their online features done on regional servers based on where the disc you are using was meant for- to play fellow UK players in Motorstorm, for example, you would need the UK version.

I can't say for sure why some of the downloadable games won't work unless they maybe put some region coding in selected games such as Tekken 5. Because you are using a Japanese system not all items may be available to you in the store. There isn't much that can be done there.