Stazi,
My understanding is that anti sieze is thinner becuase it's made for threads. Moly is a bit thicker and made for all other metal to metal contact surfaces.
The reason I say it burned off was becuase I put it on the exposed threads of my exhaust bolts after installing the factory y-pipe. I didn't use any other chemicals, and half way home I smelled burn-off in the cabin of my car.
-Andy