While there's no massive Mega Man game box set for the series' 25th anniversary, there is a PSN compilation in Japan, acting as sort of a digital box set. Minus the box.

The Mega Man 25th Anniversary Commemorative Campaign Pack is a discounted bundle of all the Mega Man games currently available on Japan's PSN, including the PlayStation releases of Mega Man 1-5, along with 9 and 10. The set, discounted 50% from regular price, costs ¥2,500 (around $30), and will be on sale through January 7.