Example of a compact topological space $M$ such that $\mathcal M_1(M)$ is not compact.
Solution 1:
The answer to your question is no: $\mathcal{M}_1(M)$ is always weak-* compact, because one can always in a certain sense "recover" the Hausdorff property of $M$ as far as the properties of the space of continous functions on $M$ are concerned.
First of all, just a small remark: continuous real-valued functions whose domain $M$ is compact are always bounded, regardless of $M$ being Hausdorff or not. The proof is classical: let $M$ be a compact (being Hausdorff is not needed) topological space, $f:M\rightarrow\mathbb{R}$ continuous, and $\{U_j\ |\ j\in J\}$ be an open cover of $f(M)$. Since $f$ is continuous, $\{f^{-1}(U_j)\ |\ j\in J\}$ is an open cover of $M$. Since $M$ is compact, there is $I\subset J$ finite such that $\{f^{-1}(U_j)\ |\ j\in I\}$ is a subcover of $M$ and therefore $\{U_j\ |\ j\in I\}$ is a finite subcover of $\{U_j\ |\ j\in J\}$, hence $f(M)\subset\mathbb{R}$ is also compact. By the Heine-Borel theorem, $f(M)$ must be closed and bounded.
The (real) vector space $X=C(M,\mathbb{R})=C^0_b(M)$ of continuous ( $\Rightarrow$ bounded) (real valued) functions on a compact Hausdorff topological space $M$ is a Banach space when endowed with the supremum norm $\|f\|=\sup \{|f(x)|\ |\ x\in M \}$. The Hausdorff property of $M$ is also not needed to show completeness of $X$ in this norm - only the completeness of the codomain $\mathbb{R}$ is used. What is lost when one forfeits the Hausdorff property of $M$ is that one is no longer able to separate points of $M$ using continuous real-valued functions on it - more precisely, any (locally) compact Hausforff space is completely regular. However, the quotient space $\tilde{M}=M/\sim$ of $M$ modulo the equivalence relation $$x\sim y\Leftrightarrow f(x)=f(y)\text{ for all }f:M\rightarrow\mathbb{R}\text{ continuous}$$ is Hausdorff (and compact) with the quotient topology, is canonically homeomorphic to $M$ if the latter happens to be Hausdorff already (since then one can separate the points of $M$ with $X$ and therefore the equivalence class $[x]\in\tilde{M}$ of $x\in M$ modulo $\sim$ $$[x]=\{x'\in M\ |\ x'\sim x\}$$ equals $\{x\}$ for all $x\in M$), and we may identify $X=C(M,\mathbb{R})$ with $C(\tilde{M},\mathbb{R})$ (Edit: this can be done even if $M$ is not compact and always yields a completely regular - but then not necessarily compact - $\tilde{M}$, see e.g. Theorem 3.9, pp. 40-41 of the book by L. Gilman and M. Jerison, Rings of Continuous Functions, van Nostrand, 1960, as pointed in the answer to this MO question made by the OP's author, also linked in his comments below). Moreover, due to the compactness of $M$ and Hausdorffness of $\tilde{M}$ the quotient map $$M\ni x\mapsto[x]\in\tilde{M}$$ is even closed.
(Edit) The Riesz-Markov-Kakutani representation theorem, on its turn, actually holds even if $M$ is not Hausdorff (without uniqueness in this case, as pointed in the comments below). One is able to identify the topological dual $X'$ of $X$ with the space of signed, finite Baire measures on $M$ (recall that the Baire $\sigma$-algebra on $M$ is the $\sigma$-algebra $\mathfrak{Ba}(M)$ generated by the zero level sets of elements of $X=C(M,\mathbb{R})$, which is contained in the Borel $\sigma$-algebra $\mathfrak{Bo}(M)$ of $M$) see e.g. Lemma 8.25, pp. 293-295 of the book by V. Komornik, Lectures on Functional Analysis and the Lebesgue Integral, Springer-Verlag, 2016. This lemma relies only on a version of Dini's lemma (see e.g. Lemma 8.24, pp. 293 of the same book) and does not require the Hausdorff property. One can go even further and identify $X'$ with the space of signed, finite (but no longer necessarily regular) Borel measures on $M$ thanks to the Corollary to Theorem II.2.6.1, pp. 227-228 of the book by K. Fuchssteiner and W. Lusky, Convex Cones (North-Holland, 1981), as also pointed in the the answer to the aforementioned MO question. More precisely, the results quoted above tell us how to recover a measure from a positive linear functional on $X$ (which, by the way, happens to be continous). This measure, as pointed in the comments, is not necessarily unique - consider e.g. Dirac measures concentrated on distinct points of $[x]$ for some $x\in M$ with $[x]\neq\{x\}$. This happens, for instance, for $x\in M$ with $\{x\}\neq\overline{\{x\}}$ if $M$ is not $T_1$.
Conversely, any signed, finite Borel (resp. Baire) measure $\mu$ on $M$ yields an element of $X'$ once we identify each such $\mu$ with the associated integral, seen as a (bounded, hence continous) linear functional on $X$: $$\mu(f)=\int_M fd\mu\ ,$$ so that for each Borel (resp. Baire) subset $A\subset M$ we have $$\mu(A)=\int_M\mathbb{1}_A d\mu\ ,\quad\mathbb{1}_A(x)=\begin{cases} 1 & (x\in A) \\ 0 & (x\not\in A) \end{cases}\ .$$ As discussed above and in the comments below, this map is no longer injective if $M$ is not Hausdorff. However, one can still identify each element of $X'$ with a unique signed Radon measure on $\tilde{M}$ by the standard Riesz-Markov-Kakutani representation theorem, of course.
The weak-* topology on $X'$ is just the locally convex vector topology of pointwise convergence, determined by the seminorms $$\|\mu\|_f=|\mu(f)|=\left|\int_M fd\mu\right|\ ,\quad f\in X\ ,$$ hence a fundamental system of neighborhoods of zero in $X'$ in this topology is given by the neighborhoods $V(\mu;f_1,\ldots,f_n;\epsilon)$ you wrote above.
Finally, the Banach-Alaoglu theorem is an abstract result for Banach spaces which states that the unit ball $$B=\{\mu\in X'\ |\ \|\mu\|=\sup\{|\mu(f)|\ |\ \|f\|\leq 1\}\leq 1\}$$ in the norm topology of the topological dual $X'$ of a Banach space $X$ is compact in the weak-* topology. In our particular example, probability measures on $M$ are just the elements of $X'$ satisfying $$0\leq f\in X\Rightarrow\mu(f)\geq 0\ ,\,\mu(1)=1\ ,$$ the set $\mathcal{M}_1(M)$ of which is a closed subset of $X'$ in the weak-* topology (hence also in the norm topology of $X'$). Since $$|\mu(f)|\leq\mu(|f|)\leq\mu(1)=1$$ for all $f\in X$ with $\|f\|\leq 1$, $\mathcal{M}_1(M)$ is a (weak-* closed) subset of $B$, hence it must be weak-* compact as well.