Capcom really committed themselves to this game. They could have easily hired a cheap animation studio to pinch off a few generic anime sequences for the cut-scenes of Mega Man 9. Instead, they chose to go all-out and keep the game as retro as possible by presenting the story in an NES-like manner. Using the same blocky white text that I assume was part of a built-in library for the system, the narrative just reeks 8-bit. And we mean that in a very good way.
Choosing this simple method of story-telling was very important. Although there's absolutely nothing wrong with using animated sequences to tell a story, the fact that Capcom decided to present the plot in the manner that they did reinforces the idea of the product: this is an 8-bit experience. While the skeptic might suggest that they did so in order to cut costs, I'd like to think that it was purely a design-driven decision.