So I've analyzed the information related to Megaman's Rush Cancel.
First lets analyze the gif just posted, where Link drops out of hitstun vs the entire Mario combo.
What this implies is Smash 4 has a combo system that relies on this principle: the average character will only be able to approach a character and initiate a move within frames of the other character escaping hitstun. Most combos won't be combos, but strings of "escapable" hits that don't give the opponent enough frames for any move to come out. By design, they simply avoiding giving characters options that are fast enough to escape these strings, giving the illusion that true combos exist in the game. They still essentially are true combos since you can't do a move fast enough to actually escape the string, but it's not a true combo where characters do not leave hitstun.
This would be fine if it only applied to these kinds of strings, but it doesn't. The "weak" hits that are used to effect multi-hit moves
ALSO use this principle. This is where the problem arises.
Now lets look at this frame-by-frame of the core issue with Rush Coil that causes Rush Cancel.
We see 1 of the faults of where Rush Cancel happens here. We saw from other attempts that characters can initiate an up-b very soon after Mario's Dthrow, to the point where you have to watch out for it and have to be ready to react to the possibility they use up-b to try and counter combo attempts. Mega Man's, however, has an additional issue- Rush spawns on FRAME 1, hits the ground the same frame as it's supposed to spawn "in the air" because you're too close to the ground, and so megaman is moving upward from the momentum in down-throw, while rush is trying to bounce him up from his in-air position, but rush gets stuck on the ground, but the coding of the game forces Rush to bounce megaman up regardless of his relative position when he up-bs. This causes mega man to float above rush, act if hes in the air falling back down into rush (since he's being bounced in the air, while rush is on the ground), and when you go from the air onto a grounded rush you get a higher and faster bounce than normal. This can only happen if the game Spawns Rush first (Frame 1) and then forces Mega Man to Bounce on it instantly, rather than the safe approach of giving Mega Man huge vertical momentum, and then producing Rush Coil with its spring effect as an entity afterwards (which would prevent this issue from happening). In this particular situation, Mario's downthrow is the perfect catalyst for this. There are probably a lot of moves in the game that will cause this effect, seeing as at low%, attack types like this are a staple in the series.
I don't have frame-by-frames for the Rush Cancel during multi-hit moves, but I'm going off an assumption that its a combination of the above problems. First, multi hit moves are not actually combos, just strings you can't escape as explained above... With the minor oversight of a character getting a 1-frame up-B that spawns an entity, Rush, that FORCES Mega Man to bounce on it like an item interaction would cause, regardless of his position and state compared to Rush when you initially press Up-B, and not a normal mechanic in the character that adds momentum to himself by going through an inherent animation built into the character like a normal Up-B would. The difference between: Give momentum, spawn Rush Coil; and Spawn Rush Coil and then force a bounce causes a major difference in the mechanics of the move, allowing you to cancel low hitstun. As tested, harder hitting moves and throws have
significantly more hitstun than weaker ones, making it impossible for anything like this happen.
tl;dr- Instead of giving Megaman an upward momentum animation, and then spawning Rush as an entity afterwards for an Up-B, Rush Coil spawns Rush Frame 1 and then forces Mega Man to bounce on it regardless of anything else that is going on around Megaman. Many multi-hit moves give Megaman even a single frame he's allowed to input an action, and Up-B is able to be pressed and instantly allow escape. This is a major oversight created from a small design choice when implementing the move.