Were you using firmware 4.9?
Viewing post in Mega Man: The Sequel Wars - Episode Red comments
I was told that JB 7.8 (Jailbreak based on 4.8) works playing from a SD card on the Sg. You could try that, or downgrading to OS 4.8 and see if that clears it. Don't know if using a Mega Everdrive has anything to do with the glitched audio.
Indeed. I think they call that a regression when you fix one thing, and break something else. I contacted Analogue (see my other post edit) and they said it will be fixed in a future firmware update. :)