That is correct - nothing commonly available will fit properly.

But, the screws are not truly "metric" (and certainly not "M4", which is a 21st century term!) but they ARE 26 tpi, which is apparently as close as we decided to go in copying the French 25.4 tpi (1 mm pitch). As Madsenshooter says, our earliest arms were based on (in fact were almost direct copies of) French muskets.

So, treat Krag sight screws kindly - they are in short supply. In an emergency, an 8-32 brass screw (with head blackened) would work - in SOME applications. The front screw on the 1901, for example, pretty well has to be genuine.