Fast movement and/or thin colliders are a real issue when using physics.

You're right, movement is taht fast and there is no interpolate between frames, so an object can pass through another thin object (because their positions never actually collided each other)

You can try to bypass with a raycast collider searching for possible colliders like in the script DontGoThroughThings here:

http://www.unifycommunity.com/wiki/index.php?title=DontGoThroughThings

That script can help a lot with that problem, but is no 100% fail-safe, so try to make colliders as thick as you can.

Make sure your sphere is somewhere around (1,1,1) in scale. Change the scale factor in the mesh importer if necessary. Having a mesh collider for a flat plane is perfectly fine; this is what the default Unity plane has. But the physics engine does not like small objects.

For a pinball game, I would increase the physics timestep quite a bit so physics runs at least 100fps. This does of course increase the CPU power needed, but a pinball game doesn't have many moving objects so that shouldn't be an issue.

I think MeshColliders don't work for totally flat planes. Use a plane collider instead.

I hope you meant by "posting the meshcollider" posting a screenshot of the Inspector view. There you go:

http://www.freeimagehosting.net/uploads/df1ca0f4dc.jpg PlaneInspector

Concerning the plane collider: did you mean the box collider? I've tried to use the box collider instead of the mesh collider but the sphere still falls through the plane (even if I enlarge the height of the box collider, which was originally set to 0).

Another thing I've discovered: if I place a Unity cube beneath my plane, the sphere falls through this box, if it is scaled very flat, and doesn't fall through it, if the cube is thicker (having a box collider attached to the cube).