Constable,
What happened is that you activated the thermal shutdown on the batteries in your M4. The MN20 draws around 2.5 amps in the M6. This is only 1.25 amps per stack of three 123's. Now put it in the M4 and you are providing more voltage (probably) and thus the MN20 will ask for MORE current, and 2.5 amps is just about the maximum current draw you can get from a single stack of 123's. Thus your 123's got so hot that they cut out (which is one of their internal protection features).
Let me say right now: You are lucky. This could have ended differently. You could have EXPLODED the MN20 in your Millenium Turbo head and ruined the lens and reflector as well as the lamp. A cool $150 or so down the tubes.
Be very, very careful about swapping lamps from light to light. A "9 volt" SureFire light is NOT really supplying 9 volts. The batteries sag under load. The greater the load the greater the sag. People often try installing an MN16 M3T HOLA in their M6, thinking "they're both 9 volt lights, so this should work." *buzzer* Not so. The M6 is running TWO stacks of three 123's and will thus hold a HIGHER voltage under load, and will blow (best case) the MN16 or explode it (worst case).
SureFire lamps are carefully matched to their power sources and caution is advised when trying non-standard configurations.