I've finally gotten around to unlocking all of Mega Man's customs and experimenting with them myself. I'm really blown away by how useful basically all of his customs are(except for his Down-Bs). Mega Man has so many viable options and builds that you can pick almost anything you want and make it work if you use it intelligently. Here's what I've been playing around with, along with my thoughts.
Shadow Blade Set
Shadow Blade
Danger Wrap
Beat
Plant Barrier
This set is probably the easiest to use overall. Mega Man in general has a steep learning curve and a fairly straightforward set such as this one is a good option to make him easier to use, though this doesn't mean it's underpowered by any means. Shadow Blade is good at controlling space, especially in front of Mega Man, and can lead into a grab or D-Tilt if it hits on the way back. Note that you can't move until the blade starts to come back, so space it properly. Danger Wrap moves slowly, making it a good defensive anti-aerial. You can also combo with it by hitting your opponent into it. I've been able to string sourspotted Utilt into it. It does have kill potential (don't have exact numbers, but I was killing around 140% with it) and also has uses against characters trying to recover high. The combination of these two moves is pretty effective at zoning your opponent out, with Shadow Blade stopping a lot of ground approaches, and Danger Wrap disrupting aerials. Beat gives you much better distance than the other recovery options, especially horizontally, though it isn't really necessary for this set. I haven't really found much use for Plant Barrier, though it's still probably best for the grab combo.
Hyper Bomb Set
Hyper Bomb
Ice Slasher
Tornado Hold
Skull Barrier
This set is tricky to use, but it's the best edgeguarding set I've seen for Mega Man. Hyper Bomb is a really weird move and it takes a bit of practice to master all the different angles it can cover, but it's an excellent edgeguarding tool and has plenty of other uses as well. Ice Slasher puts the opponent in the air and can set up Bomb juggles. It also helps to cover space horizontally, which Hyper Bomb doesn't do as reliably. Tornado Hold can lead into another aerial, and is useful against opponents trying to recover high and avoid your Bomb shenanigans. It's also his weakest recovery option, and has almost no horizontal mobility, so be aware of that. Skull Barrier is a very niche move that kind of helps against some characters like DHD, but is worthless against much of the cast.