When it comes to redis clusters, you need to keep in mind that the role of master is not assigned or constant. In your procedure, when you stopped M1 in cluster A, one the slaves (let's call it node2) was automatically promoted to be the new master in that shard. When M1 was restarted, it checked in with the other nodes in the cluster and found that node2 is currently the master in that shard and so M1 initiated a replication download from node2 to M1. Since node2 is master, anything that M1 thought it had is considered old/stale/etc and thus dumped in preference for what node2 said is the current data set. And since this cluster A had no data to begin with (since it is a new cluster), the result of the replication is that M1 has no data.
The redis cluster dynamically manages the master / slave roles and automatically changes roles as needed. Thus the SLAVEOF commands make no sense in a cluster mode.
I haven't tried this myself, but if you're really wanting to move data from one cluster to another, I'd suggest having all nodes in the new cluster stopped, then copy over the data files and then start the nodes. Though I wonder if there is other meta data stored in the rdb files that might present other issues.
Chris