I find I mostly get quick attack with retreating Nair hitbox, personally. The move is really frustrating at first, but you can learn to beat it. It pressures shield decently, but pika doesn't recover fast enough to keep up the pressure flawlessly so don't be afraid to shield when you see it coming.
The hurtbox really stretches and contorts in really strange ways when he Quick attacks. When he does the infamous double grounded quick attack, the hitbox is above him and is pretty huge. I find that a FH metal blade downwards can work wonders, or even from a quick double jump. Since he is moving all over the place, it is likely to hit him. If it does, you can often confirm into a utilt, though sometimes you have to wait for him to fall a little, and at high damage you might have to settle for a usmash. On the other hand, pikachu's is pretty light, so the utilt kills crazy early (you will often be high rage due to pikas very effective low damage combos, more on this later) and when he is going to far to utilt reliably the usmash should definitely be killing. I have taken back a lot of pikachu games this way, pika is not the best at zone breaking without his quick attack, keep up the pellet wall and look for stuff like this. Powershielded U/F smash from pika into a utilt can also bring games back.
Basically, don't feel like you are behind in a stock until you lose it. A quick Uair -> Bair, or even a few failed approaches that eat pellets, and you are back in this. You can kill pika ridiculously early if you have 150%+. Speaking of which, learn Pikachu's kill setups to avoid this.
He will be going for u-throw thunder probably the most. This one can be avoided if you DI behind him, but he can mix that up with d-throw so you go straight up. But, he has to mix up the throws AND read your DI, so it isn't reliable. Try to keep him out with mobile pelleting and projectiles, he should take a lot of damage from pellets before he can land a grab. His run speed isn't great, and his grab range is pretty lackluster, so be safe with pellets and he will struggle to get the uthrow stuff..
He might try to drag you down with fair, then go for a usmash.. Here, you want to actually SDI downwards to hit the ground ASAP, since this only true combos if you suffer landing lag after he has landed, since fair has 15 frames of landing lag (I believe, its something like this). Otherwise, watch for over zealous approaches on your end where you walk into a f-smash, this is really not good and will score him kills early. Take the safe landing option! Don't try and land next to him for a pellet mixup or something, unless you are confident he won't fsmash, or that you will hit first (ie sawblade coming down, crash bomb attached, good pellet momentum)
The last, and most dangerous to megaman, is gimping. Bair, fair, nair, dair, can all set up gimps that lead to your early demise. Bair is a 5050 where you time the ledge tech to survive, or he fastfalls, you fall out of bair, then if you had pressed the tech attempted you will airdodge and die. The others are just really solid edgeguarding moves. I can't offer many tricks here, its down to a reading situation. Save your double jumps, avoid him at all costs. If he is below you suspiciously, watch for the initial cloud hitbox of thunder, which will spike you.
Finally, to end stocks when all else fails, pikachu has uthrow. This will take forever on megaman, so just know that you are basically dead around 180% if you get grabbed by a rage pika, probably close to 200% fresh.
I mention mostly quick attack and killing stuff, because those are the keys. If you can punish quick attack, pika really longs for burst mobility or hitboxes to close the gap you create. You are faster in the air, and more mobile on the ground IF you are shooting, since he has to shield or otherwise get stopped by pellets constantly while you can move and pellet. I also mention kill setups, since the game can easily be won by you surviving forever with even one of your stocks. Pika that struggles to kill is a dead pika, unless you are just getting outplayed really hard. If you can beat quick attack, you can just keep him out, keep pestering him with pellets, and he will die eventually. Bthrow kills or even uthrow kills might be your friend in the MU. Leaf shield has mixed success on quick attack, but shielding + leaf shield is pretty much safe and will usually net you some hits, which can easily lead into a grab. Bair will do work in this MU, you won't frequently gimp pika but when you keep trying to block the ledge with dair you can get some randy gimps. If he tries to go high to avoid this, to platforms, punish with uair or bair.
Basically, you will get combo'd early, but don't get discouraged or let this make you think you are losing. Once his strings wear out, he has to beat you in neutral a LOT to finish you off, win your game back here with our amazing neutral.
Dtilt is safe on shield, just retreat and go for pellets again, swearing to yourself you won't let him get that close. DI AS SOON AS YOU ARE GRABBED. Even if the thunder hits, you aren't dead, so keep DIing. I'll say it one last time, survival is them most important thing in this MU.