Remember MegaMan's other lesser-known cameo? It's from the sword fighting series Onimusha and here is a video of me unlocking MegaMan EXE Onimusha Blade Warriors for PS2. He's either quite tough, or I'm not good enough at the game 5 hours in.
By the way, that castle stage looks very similar to the Gargoyle castle in BN5. Of course, that's no coincidence because of culture, or something.
After unlocking MegaMan, I think it should be straightforward on unlocking Zero, so I'll get to that later.