About [[MathJax:Mathmenu-SwitchAnyway/el]]

Are OK and CANCEL translated in the user interface?

Good catch: there's no message defined directly for them in the Mathjax project (and you cannot assume the existence in any other Mediawiki-based project; Mathjax is independant of Mediawiki).

But anyway if they existed, it would require change in code to use replacement variables.

So the best thing is still to translated these two common action buttons (hoping that the effective UI uses the common translated labels for these common buttons used in most dialog panels and "alert" boxes).