I've actually thought about this a lot over the years. I remember reading in an interview somewhere that Yu Suzuki wasn't that into the idea of crossover games or games that sacrificed balance for flash and roster size (the near-perfect balance of Virtua Fighter rosters vs. those of Tekken, Capcom "Vs.", Smash Bros., et cetera) and that Megamix was the brainchild of another AM2 employee. So, since the team head wasn't that terribly interested and Megamix probably had middling sales due to being on the Saturn, they didn't push for a sequel.
Smash Bros. becomes a big hit, especially in the west where people actually cared about the N64, and a huge opportunity is missed by not making a Fighters Megamix 2 on the Dreamcast. So many hands were tied with Shenmue, F355 Challenge, and Virtua Fighter 4 that I guess it just wasn't meant to be. It's a shame, because that was the perfect time to release a sequel. Smash Bros. was still new to the scene, and the "2" would put it in people's head immediately that this probably wasn't a rip-off series since the more popular series hadn't been out long enough for a studio to put out two whole games.
Also, unfair as it is considering that Sega put out arguably their strongest games in those brief 3rd party years before the Sammy buyout, Sega's brand value tanked after they left the hardware industry for most gamers. Still, in those early years on PlayStation 2 or Xbox there was potential for a sequel.
Now, I just think it's too late. I think that Megamix had potential to be a great series, but its time has simply passed. Obviously I'd buy a Megamix 2, you'd buy a Megamix 2, anyone reading this or this site in general would buy a Megamix 2, but I just don't think that the Sega brand name is strong enough to convince the ever-conservative board of directors at a AAA game studio these days, and gamers who've grown up without Sega as a huge brand aren't gonna give them the same benefit of the doubt as before.
It's a shame. Fighters Megamix, despite being totally unbalanced, is possibly my favorite 3D fighting game. The perfectly-implemented shoulder-button side-step is just a complete reptile-brain-tickling joy for me and the ridiculous character juxtapositions thrust it over the top. There was a five-to-six year period after its release where a Fighters Megamix 2 could've sparked something bigger, but I just don't think it's there anymore.
I'd LOVE to be proven wrong, though! Especially since Smash Bros. does very little for me.