Ahh yes, i think the lens O ring comes only with the McLux head (which i presume you dont have). So in your case, the smallest o-ring goes on the threads. The large o-ring on the tailpice helps if you want to use the light "combat grip" style. Grip the light between your index and middle finger and operate the switch with your thumb.
The Krol switch ; yes, it is normal for it to stick out a tiny bit, it was designed this way to make operating the switch easier. If you want the switch more recessed, you can try the Darrel mod, which lets you screw the kroll in a bit further (although i havent managed to make mine go in far enough to eliminate the wobble).
Finally, i dont have a BB400 or a Madmax, not even a minimag, so i cant help you there.