Can anyone tell me what happened?

"on but no load"

is generally not a good idea. The equipment was designed and tested with inputs and outputs loaded so it is hard to predict what it will do unloaded. Might be just fine, who knows.

There is no way that it got hot enough to start smoking and something didn't get damaged. If smoke comes out of something it needs to be repaired.

Sounds like the Pepsi Syndrome! Was anyone drinking a soft drink near the
gear recently?

Seriously, sorry to hear about this...it must have been scary and frustrating,
and I'm sure it remains so. I'd agree with Herman, most certainly some
damage was done and if I were you I'd get both components checked out.

You mentioned replacing tubes in the amp, but it was the preamp that was
smoking. So nothing was changed out in the preamp at all?

On the amp, was it just the 6SN7's or did you pull and replace any other
tubes? Does that amp auto-bias? Weird, though, that preamp failed when it
was the amp you altered. Did you check all your connections...anything
moved? Speaker wire shorting out? When you say "no load mode" do you
mean the preamp was muted at the time? And/or was the amp in standby?
Hmmmmph!

Marco

Did you disconnect and reconnect any interconnects? I once left and came back to a big noise like that, no smoke though, but both of the interconnects were just the teeny-tiniest amount from being totally inserted and it caused it to go into this mode. No permanent damage but very scary.

Where there's smoke, there's fire. Something fried.
Best send it out for a physical and any necessary surgery.

I had this same experience with a NAD - a cat had peed on plug strip. Cat fine, amp not. Thanks to the cat, I now have tubes.

In all seriousness though, with a couple o' minute to think... Is it possible that the overall voltage is much lower in your Anthem, and the Cary much higher... and in an attempt to equalize, your Anthem started cycling up with the Cary's unreleased voltage? I have had similar issues, and always think that it is better to go tube to solid, rather than solid to tube. I used to have a Marantz that was a digital processor, and would do the safety turn-off thing if I ran the tube preamp through its bypass, and then to the amp, verses ran the Marantz to the tube preamp. It had been fine when I had a pair of MA500's. Went over to a Rocket and started having the problem. Weird but true.