Heh, I would say Fastmail works better than many other services over POP.
Anyway, you can do precisely what you want using fastmail, by configuring the virtual domains and using 'pop from subfolder' feature. This is an outline of how you do it(Bill suggested this above in his post, but I assume you missed it)
1. Configure virtual domains in your account.
2. Set up catchall aliases(email addresses like *@yourdomain.com) and target them so that emails to each virtual domain go to a dedicated folder in your fastmail account. So, *@domain1.com can target the address yourusername+domain1@fastmail.fm, and you should have a folder called domain1 in your account. Similary, *@domain2.com should target yourusername+domain2@fastmail.fm, and you should create the folder domain2, and so on.
3. You set up multiple POP accounts in Mail.app for each of your foldernames. There's a little trick when specifying the username. You've to give it as yourusername+domain1@fastmail.fm to get the emails from the domain1 folder alone.
That should do exactly what you are after.
And I do hope that you regularly backup all your emails. Since you are supposed to keep the emails according to the law, losing them can be quite problematic, so I would really really recommend keeping remote backups as well.
See if you can make sense out of my post. Any questions, please post back.
Kurian