It sounds like your wood was green, i.e. not yet dried. Until most woods are dried sufficiently, they will expand and contract, some much more than others, even when dry. In most cases, it is the moisture loss or gain (humidity fluctuations) that causes expansion and contraction that results in cracking. If I suspect a blank is not yet completely dry, I will microwave it for a minute, let it cool down and microwave it again for a minute. I will do this several times. (that is my general procedure, not the specific one.)
Mesquites is one of a few woods that don't do dimensional expansion and contraction as most woods. The more brittle wood is, the more it is subject to cracking also.
One other possibility. Noticing that you are relative new to pen turning, getting a small amount of glue inside the tube and then assembling it - that can and does cause cracking. In most cases it is instantly but in some cases, there is just enough expansion of the tube that with the first sign of humidity change or heat, suddenly it will crack - sometimes for the whole length. But in your case, this probably did not happen since all 4 did that.