This has always interested me. Do we classify stories set in cowboy times as westerns. Well, yes. But masked mystery men appear in many time frames and there are many "cowboy"/"western" heroes who are masked mystery men, secret identities and all. A slew of them in Spanish and other European comics as well as American and I tend to think that the hero should be the main factor in deciding how to classify the episode. Gene Autry is so obviously a western as is Jace Parson but many of the stories are set not in "cowboy" times as we would normally think of it, e.g. Cheyenne and Range Rider but in automobile times, making these stories less western, more action hero stories but we wouldn't call more modern setting stories other than westerns.
The masked "cowboy" keeping his i/d secret will normally be classified by me as a mmm.
There is another example, that of the historical hero. Again many in Spanish comics. The action is in, say, medieval times but the hero is masked. Is this a historical "romance" or a mmm story A bit of both but as the attraction for me is the guy in the mask (or flashy supersuit with some sort of emblem) then it's a mmm story.
I'm sure there are big flaws in my argument and I look forward to being demolished. You see, the attraction of the masked/costumed hero is the big thing for me.