Mega Man Legends 3 had to be one of the most disappointing cancelled games to ever happen in gaming history. Mega Man Legends 2 left us with a huge cliffhanger at the end where Mega Man is stuck on a satellite outside of the planet.
Also, there is mention of an ancient computer system that might possibly bring ruin and awaken sometime in the near future. That and much more are mentioned in the documentary.
For real, Mega Man Legends is so freaking fun. They do need to come out with this already.