Is "which department store are you coming from" incorrect? It's a different verb, but that's how it would be said in English, if I understand the Hungarian sentence correctly. I don't hear people talking about "arriving from" a department store
They do not really talk like this in Hungarian, either. So, maybe it is a good translation, being awkward in both languages. :)
You're right. It would be "which department store are you coming from" - "Melyik áruházból jössz?"
"Which department store are you coming from?" would be more likely how an English speaking person would pose the question.
Do not end a sentence with a preposition
This is a non-rule which is endlessly repeated but is not accepted by either the OED or Collins.