Dave- Could there be a leakage path to ground? 4KV is a lot, so if there was a high resistance path to ground, some current could flow back to the chassis...
If you remove both leads, can you measure any resistance from the positive lug to the chassis? Does the meter deflect when you do this? When you increase plate current (with both leads attached), does the needle go upscale, or does it stay pegged negative? I would think that if enough current went through the meter to reverse the magnet, it would have melted the coil... -Tony