Try kneading in a little bit of shortening or some glycerin. I've had it come out like that a couple of times, without being able to figure out why.
The only time I had MMF do this was when I used miniature marshmallows instead of the regular marshmallows. I don't know what the difference was, but that was the only thing I did different. I know some recipes call for the miniature marshmallows, but I have always used the regular.
*editted to add- I fixed the problem by adding more marshmallow and it came out fine.
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