There are a few reasons that something like M1T might be more potent than T. I see this was briefly covered above but thought I might go into a little more detail.
First, the endogenous ligand isn't necessarily the strongest agonist at the receptor. In other words T itself may not activate whatever receptors are involved as strongly as some other chemical does. For instance people often say that DHT is stronger than T, at least in some cases.
Second, half life is very important. The half life of T is pretty short compared to the (supposed typical) half life of various methyls. This means that the methyls hang around a lot longer, which has the same net result for our purposes as upping the dose.
The scenario you mentioned, active metabolites, does occur in some cases. The drug might be metabolized into related chemicals which are also active. Some might even be more potent and/or have longer half lives. The best example I can think of here is in the benzodiazepine family, where this sort of thing definitely happens. As far as androgens, think of 4AD. It is said to be active on it's own, but in addition some fraction of it is definitely metabolized into T, which is also quite active. (I am not suggesting that this does or does not happen with M1T specifically, just saying that this type of scenario is something that can occur in some cases.)
This list is not exhaustive, but I think it covers the basics.