Thank you for your answers, the results makes much more sense in light of what you write. I was aware of the nature of B and M values, but not that it would be that important in the analysis (important lesson learned, thank you)
I am wondering how to get the most biologically meaningful probes though. The statistically significant sites have a low SE, but also a small absolute change, but by using the fold change I get probes that started with a low intensity, and get really high fold change even if they did not change that much in absolute value, so I would prefer to not use fold change.
I am assuming that maybe a change from e.g. 0.01 to 0.03 in methylation is not that biologically important as a change from e.g. 0.3 to 0.6.. Maybe it could be meaningful to have a less stringent p-value adjustment, and instead use a cutoff in mean change in M values to get the probes that also have a big mean change in methylation? Since mean difference in M value may be a more valid measure?