I remember a fellow saying that he though Megaman had suffered fatal wounds at the end of MM2, and that scene of him walking around was Megaman seeing the world one last time. Thus, MM2 was the end of the series (my reasoning, not his), until MM3 came along where obviously Mega's back up and running. Then there's the fact that the "Thank You For Playing" message is punctuated with an ellipses.
My theory? Mega "died" after taking care of Not Alien Wily; Dr. Light located him and spent nearly seven months repairing him (fighting eight robot masters, several fort guardians, and Alien Wily without repairs over a period of weeks? Blargh--by the way, this is before robots can easily be brought back from the brink of death, in 2009). By the time Megaman recovers, it's a new year, Wily has supposedly reformed and renewed his partnership with Light, and the world has more or less gone on without him.
Good thing he's more stable than Ruby-Spears Megaman, huh?
If I ever get around to making a comic about that period between MM2 and MM3, it'd focus on Mega's reaction to his coma and how things have changed. Also, Rush is a present from Dr. Wily (TV Tropes theory, don't ask).