With Valve's Steam Deck around the corner, the number of "Verified" games has naturally increased. And out of the many Mega Man games from the Steam Library, Mega Man 11 is the first to be Verified. In other words, it's fully compatible with the device.
Conversely, only one other Mega Man game has been deemed incompatible: Mega Man X Legacy Collection 2. Valve's Deck Testing indicates that the game may not function properly, if at all. It remains to be seen if this is a temporary setback or something that can be amended in the future. But for this initial launch period, X Legacy Collection 2 is a no-go.
As we wait to hear back from the remaining Mega Man games, you can keep tabs on other Deck-supported software via SteamDB.
Source: good 'ol Wario64