Worth adding that the same question in one dimension is a nice sanity check and is fully tractable by hand.
Points on a line, each joined to its nearest neighbour: work out the probability that two consecutive points are mutually nearest and you get an exact constant, and hence an exact expected cluster size. It is a good exercise because the geometry is trivial and the argument is identical in structure.
The general point worth taking away is that these nearest-neighbour graphs are quite rigid objects. Each vertex has out-degree one, cycles can only have length two, and every component contains exactly one cycle. That structure is what makes the counting argument above work at all, and it is the sort of thing that looks like a coincidence until you prove it.