I don't think I've ever talked about MMs having to close their books monthly, though many people DO talk about that. In reality, they don't have to.
You often speak of MM's closing the month-end books. I can't imagine that would be required to close up all their short positions at month-end, because imbalances would be a natural result of any traders daily activity. Do they have limits in either dollars or percentages in how large the shorts can be? Or just a time frame in which to clean them up?
As you say, it would cause imbalances. They don't have to close short positions for any reason, as long as they've shorted in order to provide market liquidity. That said, they're well aware how volatile penny stocks can be, and most have NO wish to be caught short OR long for any length of time. Most adjust their positions at the end of the day; some close them entirely at the end of the day or the end of the week.