All the others do have a permanent bonus, it's just not a permanent bonus to public order. There is a temporary public order bonus that comes along with capturing any wonder. The problem is that the temporary bonus is all you get from the Statue of Zeus wonder at this time. I think it's on the list for the patch.

Also, has anyone seen a wonder bonus to order higher than 20%? I am thinking they don't stack, if you happen to take two wonders in close succession, like Alexandria and Memphis on the same or consecutive turns.