If Dr. Wily was so confident in his abilities to take over the world, why would he bother with escape mechanisms? Then again, I suppose we should be glad he has them, or this would've been a very short game series. Well, unless Capcom went with an (actual) original villain in each game... pssh, like that'd happen.
In this first Megaman game storyline, there was some debate among the (few) readers as to whether or not this whole thing was really taking place or if it was merely a recreation of the first game by the characters in it. For example, Dr. Wily indicates that he knows what that he'll escape and plague Mega Man for years, which suggests it's all just a recreation and Dr. Wily's just a role, even if it is his role. That's the viewpoint I took with the first game, but everything went out the window sometime around the second game.
Anyway, later I would try to clarify the situation by differentiating between what's "really" happening and what's just a recreation by the bittage of the sprites. 8-bit indicates it's the past or a recreation of the past, while 16-bit indicates the present, such as when Proto Man shot Dr. Light.