The 4 GC is a beautiful car, there is no denying that. There is also no denying that it inhabits niche territory, but too niche for BMW to consider an M car?
I don't think the niche argument is a good one considering BMW sells not only the X5 and X6 with M polish, but the elder 6 sereis Gran Coupe is available with tricolour lettering as well. BMW is clearly not scared of low volume niche vehicles.
Another reason perhaps that BMW hasn't M'd the 4 GC? It would be easy to assume a M4 GC has the M3 standing in its way, but it doesn't. The 4 and the 3 diverged, the 4 riding on its own platform derivative, one it shares with the 4 GC not the M3. The tooling and research is already in place so the spool up time would be relatively short in my opinion.
So why doesn't BMW do it? Well if I had to put money on a guess, its protecting the M6 GC. That car is unique in BMW's lineup, it doesn't sell in large quantities, but it does sell for large transaction prices. BMW may simply be protecting the 'hallowed' status of the M6 GC, if its no longer unique in the lineup does it still hold its desirability?