The Mega Key is incredibly powerful as it grants whoever is using it complete access to the schematics and programming of any robot placed inside the Mega Key, allowing the user to alter said programming in any way they see fit. For this reason, Dr. Light does everything in his power to keep the Mega Key's existence a secret to prevent it from falling into the wrong hands.
In Panic in the Lighthouse, the Mega Key's appearance was revealed after Mega Man and Chaotique broke into Dr. Light's lab and Chaotique was badly damaged by a fake Mega Key which was booby trapped. Dr. Light used the Mega Key to access Chaotique's systems and fully repair her.
In The Gauntlet Part I and II, Lord Obsidian came very close to stealing the Mega Key after fighting his way through the lab's defenses, but all the destruction triggered a last-resort security system that ejected the Mega Key from the lab and sent it to another room in the Light House, which was then covered with a force field.
After Lord Obsidian was finally defeated and revealed to be Sgt. Night, he revealed that the reason why he wanted to steal the Mega Key was so he could use it to wipe the minds of all the robots in Silicon City, thereby turning them into mindless servants with no personality or autonomy.