For me at the time it was a moot point since the Playstation has a way better d-pad, plus one PRESUMED Sony took backwards compatibility more seriously. Maybe they still do and we'll see it return (Nintendo's certainly not serious about it).
Anyway the Playstation version is excellent, and I'd be surprised if the others aren't too.
After replaying these, it turns out I like the original Megaman games a LOT more than the X games. I'd actually never played 6 or 7 until the Anniversary Collection, and I loved both.
At the time it felt like they were all kind of identical and they were just spitting them out, but playing through the whole series in order, you realize every single one of them is justified, and there were actually great ideas and changes as it went along. I think 6 and 7 are probably the most playable in the series too.
Note that 9 and 10 (especially 9) have little to do with the real series. Other than the original, these games were never as hard as 9 is, and way more playable. (Even the original's probably easier, and 1 is forgivable since it's a brand new idea and they're just getting into it.)