Great looking pen, and I understand that feeling.
The reason it detonated / exploded / had a blowout - can be a combination of two or three reasons.
1. the reason is that the thinner a segmented section becomes, the less strength it has. There are ways around this.
2. the heat difference created in turning segments with brass/aluminum on wood causes adhesion weaknesses which lead to blowouts.
3. unequal glue between the tube and blank.
4. too large a bite, overly aggressive cutting, and slightly dull tools also aggravate the issue.
Since you did get it on the third try, it is obvious that you are not being overly aggressive and that you are maintaining a sharp tool.
Overcoming 1 and 2 above can be done with patience and a change of technique. The thinner you want a segmented blank, the more this next method helps:
Wrap the blank tightly in 3 or 4 layers of gauze and CA it. Turn one end to about halfway down to size. ReWrap with gauze and CA that. Turn the other end of the same blank down to close to the same size. Wrap in gauze and glue; turn the first end down to size, and CA the turned end well; turn the other end to size. From there, take small bites and finish sizing.
As to number 3, on delicate blanks, I use polyurethane glue because it expands. It is messy and requires taping the ends so that the expanding polyurethane glue does not shove the tube out, but it gives a more consistent adhesion and it is a little less affected by the heat.
This is what I do on delicate blanks; I have been told and I agree that I tend to over build and over think problems.

But I have fewer problems.