But he does, but then he doesn't
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So you fight the judges, fight trash Copy X, the guardians are just kind of there, and then Dr. Weil reveals that he was behind the troubles the whole time! You knew it since the credits of Mega Man Zero 2 when he announces his return.
Now, the game makes it ambiguous who's a reploid and who's a human all the time, so you see Dr. Weil as a robot-looking character with a head in a jar and it's unclear; but the Inti Creates Japs were jacking it to what they thought was a great reveal: Dr. Weil is actually human! Zero attacks him anyway. Again, there's no weight to the reveal. Zero is a psychopath the entire series. He doesn't care if he kills people.
Dr. Weil gets his hands on the Dark Elf which fuses with Omega to grant him the power to control all reploids in the world! That means even the ones at your resistance base are now mind controlled by Weil! It's over! Zero is obviously exempt because his an older model or some shiet. But don't worry, here comes Oriental magic to the rescue: cyber elf X shows up and saves everyone temporarily to ensure Zero can teleport to where Dr. Weil is and defeat Omega. The final sequence happens and you fight Omega for two phases before falling underground in the same lab where they found you in Mega Man Zero.
And here comes the most insulting and retarded Japanese plot twist of the entire series: Omega, the giant robot, was actually wearing a giant armour. The real robot is inside. It's Zero. Turns out Dr. Weil found Zero's body and used it to put Omega in there. And your character is just "some robot" (that happens to look exactly like Zero, despite Zero explanations as to why that is) that the resistance decided had to be Zero. So you're not even the original body, which ruins any meaning the first scene in the first game had, when they found you. And then... why, exactly, is Omega Zero? No reason. But Weil taunts you that you wouldn't dare destroy your original body. You destroy your original body. Again, no meaning or weight to anything that happens.
You win and Weil retreats. You know there's gonna be a fourth entry! By the way, all the games in this collection came one year after the previous one. And it shows.