It is false for all values of $M$ and $\sigma$.
Note that
$f$ is an even function with positive values.
$f$ is strictly decreasing on $[0,M]$ and strictly increasing on $[-M,0]$.
If $f(M) \le a \le f(0)$, then there exists a unique $r_a \in [0,M]$ such that $f(r_a) = a$. This follows from the intermediate value theorem and 2.
Consider a subinterval $J$ of $\mathbb R^+$ which is open in $\mathbb R^+$. It has the form $(a,b)$ or $[0,b)$ with $a \ge 0$ and $b \le +\infty$.
Case 1. $J = (a,b)$ with $a \ge f(0)$. Then $f^{-1}(J) = \emptyset$ which certainly does not have two components. I would say that $\emptyset$ has $0$ components (see Empty space connected? If so, then what are its components?.
Case 2. $J = (a,b)$ with $a < f(0) <b$. Then $f^{-1}(J)$ has one component. In fact, if $f(M) > a$, then $f^{-1}(J) = X$, and if $f(M) \le a$, then $f^{-1}(J) =(-r_a,r_a)$.
Case 3. $J = (a,b)$ with $b \le f(0)$. If $f(M) \ge b$, then $f^{-1}(J) = \emptyset$. If $f(M) < b$, then $f^{-1}(J) = [-M,-r_b) \cup (r_b,M]$ provided $f(M) > a$ and $f^{-1}(J) = (-r_a,-r_b) \cup (r_b,r_a)$ provided $f(M) \le a$. In both cases $f^{-1}(J)$ has two components.
Case 4. $J = [0,b)$ with $f(0) < b$. Then $f^{-1}(J) = X$ which has one component.
Case 5. $J = [0,b)$ with $b \le f(0)$. If $f(M) \ge b$, then $f^{-1}(J) = \emptyset$. If $f(M) < b$, then $f^{-1}(J) = [-M,-r_b) \cup (r_b,M]$ which has two components.
It is said that $f^{-1}([0,5))$ consists of a single connected component. Due to the above considerations this requires $f(0) < 5$ which implies $f(X) \subset (0,5)$. Thus $f^{-1}((9,15))$,$f^{-1}((14,\infty))$ are empty and certainly do not have two components, and $f^{-1}((4,10))$ has one component.