Chocolate M&Ms are covered by a layer of sugar and food colouring. When put into the water, the sugar gradually melts taking with it a certain amount of colouring which, in its turn, is also soluble in water. The sugar flows in the water from areas with a high concentration of sugar to areas with a lower concentration. At some point, the colours do not not mix anymore! A possible explanation is that in the border area between then, the sugar concentration is almost the same, diminishing the tendency of both the sugar and colouring flux.