Perhaps I'm crazy but I remember having a bitch of a time unlocking the last character in brawl...is it possible that mega-man is a secret character still?
I will be the first person to say its highly highly unlikely but I wouldn't put it past them to lock that kind of secret until the game is out in all regions and then with a system update make it so he can be unlocked...would be pretty sweet and would at least be a bone thrown to the American and EU markets for having to wait.
I say again, I seriously doubt this...but its not impossible.