Downgrading to Mega SG firmware 4.8 fixed the issue for me. Something introduced with the 4.9 firmware seems to be the cause.
Viewing post in Mega Man: The Sequel Wars - Episode Red comments
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. :)