With the 4-40, 2-56, etc, this is, as you guessed, an imperial size with the first number being the wire size, the second being the threads per inch. Therefore, a 4-40 is a 4 guage wire with 40 threads per inch cut/formed into it.
With the M2X20MM, it's metric sized with a 2mm diameter that's 20mm long. With small fittings like this, there isn't a thread count designator as they are all a standard thread. With larger fittings, the thread count is indicated with a "-X" after the diameter, the "X" being the distance between threads measured in millimeters.