At one point in Legends 2, Tron comes up with the idea of using a voice modifier to make it sound like Roll doesn't really care about Megaman. While Roll does manage to chime in later, while Megaman actually believed these awful things, one can see a tear roll down one of his eyes. Considering how close he and Roll are, this must've been heartbreaking for him to hear.
The music that accompanies both the Shuttle Bay(which leads to the final stage), as well as the Mother Zone. There's a sadness to both of them, especially when you realize that this game is the last canonical game in the Mega Man timeline, thousands of years into the future, long after many of your favorite characters from each iteration have passed away.
The ending of Legends 2 has Mega Man stuck on the moon.