Fox might be a problem, but you can play around his Reflector. And the reflected lemon will cancel out the following one, so you'll only get hit by at most one, and that's if you don't react in time. Reflector is most dangerous on a Charge Shot, but a reflected Metal Blade or Leaf Shield can disrupt or enable further punishment. But Metal Blade, if thrown from far enough away, won't travel all the way to Mega Man when reflected. And both Metal Blade and Crash Bomber can be lemoned out of existence if they're reflected.
Charge Shot is a bit better than it was in SSB4, so it matters more than it used to that you have to be very careful with f-smash against reflector characters. But I find that that's the most dangerous part of playing against a player with a reflector (or Villager/Isabelle with Pocket). Most of Mega Man's projectiles aren't powerful enough individually for it to be very dangerous. Especially since Air Shooter will be reflected downward and Hard Knuckle is typically used on recovering opponents who won't be able to use their reflectors anyway. They're not going to reflect every move you put out, unless you're really predictable, and if they're really trying to do that, they're inevitably going to open themselves up to grabs, fairs, bairs, or unthrown Leaf Shield, etc. You have to take a different approach, but I find it's not nearly as bad as being Wii Fit Trainer against a reflector character - Sun Salutation is a more important part of her kit than Charge Shot is for Mega Man and with the damage bonus reflectors give, a mistake can be a KO more easily than a mistake with lemons, MB, LS, etc.
I think characters that can combo Mega Man well and get in easily are more of an issue than reflectors per se.