If the printer was set up to Auto Cascade as the paper source then it doesn't matter what the size of the incoming fax is. The paper will be pulled from the first tray with paper in it. If the first tray happens to have A4 paper then all is well. I would imagine that for most applications in Europe that is an acceptable solution.
To force the fax to a different paper size you must specify the paper source explicitly (using the control panel). This is fine as long as you know that all your incoming faxes are going to be that size.
As a side note: I set up a LaserWriter Select 360 with a letter cassette and the multipurpose tray loaded with legal paper. I used the LaserWriter Utility to set the paper type in the multipurpose tray to legal. In this configuration the 360 would use legal paper for a legal size fax.