The A21 (about 1" long) is the piece between the tape switch (XM07) and the L60 (main light body), with your choice of C/G/P/Z series bezel on that. It acts as an adapter, as the L60 would normally be screwed into a dedicated forend, like the one's for the shot-guns/HK MP5, etc. The A21 allows you to take the L60 off your dedicated forend, and mount it on a rifle the conventional way, and makes up the space for that last battery.
The U2/Kroma/KM3 heads have the same threads at there ends as the L60, and will screw directly into the A21 or any weaponlight dedicated forend, or a millenium weaponlight body (such as those on the M95x/M96x series).
Check the images at the bottom of this for a good idea of the Millenium weaponlights:
The KM2 will screw onto any scoutlight body or E-Series flashlight.
Hope this helps clear some stuff up.