The Mega Man series has a lot going for it, but as I've covered before, plot is not one of them. Especially not plot twists. Especially in the classic and X series, when you can literally see it coming from a mile away. The best one I've seen done (at least, before it got butchered by the localization) is the one in Legends' concerning Mega Man's Trigger/Volnutt's true identity, and I'd say that the twist in ZX:A regarding Gray's backstory was alright as far as Mega Man plot twists go.