MR16s are 12 volt lamps. You'd think that it would be easier to match the LED lamps to a 12 volt supply than it is to 240 volt supply, but unfortunately it's not.
The 12 volts from the transformer needs to be stepped down even further, which means that the LEDs (like ones designed for 240 operation) still need driver circuitry, and thus need to dissipate heat - quite difficult to achieve in such a small package.
The other problem is that, because they draw much less current than halogen bulbs, the existing transformer, which is designed to work into a much higher load, may also experience problems.