That München in Italian becomes Monaco is not really strange: looking in Wikipedia we discover that
Its native name, München, is derived from the Old High German Munichen, meaning "by the monks' place". The city's name derives from the monks of the Benedictine order who founded the city; hence the monk depicted on the city's coat of arms.
I'm not sure you'll recognize the famous Italian city that Czechs call Benátky. I don't know what's your native language, but all languages I know of do such adaptations.
Every language has its own way to adapt foreign words; big towns (mostly capital cities, and there were many of them in Europe) and famous people are good candidates for such adaptations.
The results are quite strange. For instance, København becomes
- Copenaghen (Italian)
- Kopenhagen (German)
- Copenhagen (English)
- Kopenhaga (Albanian)
- Copenhague (Spanish)
- Copenhague (French)
For Italian one should remember that Latin used to be the European lingua franca and adapting words from Latin to Italian was too easy. So Brutus and Caesar become Bruto and Cesare. By the way, Caesar (as a title) became Kaiser in German and Царь in Russian.
There are stranger adaptations than München > Monaco. The Bavarian city of Regensburg is called in Italian Ratisbona. The Latin name of the town (which was founded by the Romans) was Castra Regina. Its modern name means “fortress by the Regen”, the river is named after the Roman town. Why Ratisbona? Because there was a Celtic village nearby called Radasbona or something like that and the town, for some time, was called with the Celtic name and so came to be known in Europe.
The tendency to adapt the phonetics of foreign names is weaker than it was, say, forty years ago, when still the “official” name of New York was Nuova York. Traditional names are retained, of course: it would sound strange hearing Vado a Paris e poi a London.
But nobody speaks about il principe Guglielmo, to mean the present Duke of Cambridge. However, it's always il principe Carlo for his father. Maybe it depends on the easiness of adapting the name: the former and the present Kings of Belgium are Alberto and Filippo, in Italy. I don't know how the present King of the Netherlands is referred to in newspapers, but he's probably Willem-Alexander. Apart from monarchs, the tendency is to retain the original name for contemporary famous people.