Dr. Wily doesn't know where Dr. Light's lab is located in The Big Shake. But according to a flashback in The Beginning, he was Light's assistant - in that same lab. How could he possibly not remember where it was?
In The Beginning, Dr. Wily flees Dr. Light's lab with the small red and gray robot that went berserk only a few scenes earlier, and the earliest scenes of Wily doing his solo lab work show Proto Man, implying that Wily turned the renegade child robot into Proto Man. This robot, however, would have been too small to make into the much-taller Proto Man.
There are numerous appearance/attack/ability errors with the Robot Masters. For instance, Mega Man is able to get a helicopter blade from Gyro Man to make himself fly, which is impossible in the games.
The eyecatcher sequences (the before and after commercial scenes) feature two animation errors - Roll's outfit is white and red instead of the proper yellow and red, and Mega Man has flesh-colored hands instead of the proper blue.