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Considering there's never at any point any permanent consequences, nor is there truly an antagonist, the only thing in the story that might have some kind of meaning is the stuff around the "Robot Destruction Program", which seems to be suggesting that the entire events of the story is a result of the Zero Virus Dr. Wily programmed into Zero, which transferred into Sigma after his first encounter with Zero and mutated into the Sigma Virus.
The Zero Virus was software intended to be a self-repair tool that keeps Zero in his "Normal" state, and after mutating into the Sigma Virus it seems to be malfunctioning and at odds with itself. Unable to repair itself without outside intervention from a "player", it seems like it somehow managed to infect someone's PC in the "real world" who was a huge Mega Man fan, infecting and corrupting other games on their PC in the process. This is apparently how some of the events are able to take place in the data of games that wouldn't have happened yet chronologically or would be happening in a separate timeline entirely from the Sigma Virus's perspective. At the end (and in some events), you encounter data representing Sigma before going Maverick, which seems to represent the Sigma Virus successfully repairing itself back into the Zero Virus, which resides within ViA.
My guess is ViA is a personified representation of of the Zero Virus. RiCO represents the Virus's repair function, and iCO represents the split that happened when the virus mutated. The three siblings you meet after then represent the Sigma Virus and are the result of the mutation, with their rescue representing the virus's successful repair back into its original form. The larger purpose of these personifications of data seems to be to preserve their existence after the data correction. While they are successful in preventing their own deletion, they would still only exist within the software of the now repaired Zero Virus. If the intention is for the game to ultimately end up being canon somehow, it would probably mean that the software on a next-gen Reploid after X8 containing the Sigma Virus managed to manifest these personifications, and in an eventual X9 they would somehow get transferred into Zero or otherwise obtain their own Reploid Bodies, since their ultimate desire is to "become real characters within the Mega Man X universe".
Spoiler content and speculation aside, all the information you really need to know regarding this stuff is represented within the story and the story itself seems to just be extra content enriching the experience but ultimately not important to it, similar to adding salt or seasoning on top of food. The real meat of the gameplay is simply collecting things and growing stronger until you are satisfied. I wouldn't even really be surprised if in the end it turned out all my speculation regarding the story was pointless because none of it ever ends up being canon to begin with. It's all just a little side distraction paying tribute to the franchise's history.
Besides, if they do make an X9, I guarantee it's another soft reboot a la X4 and X7. Meaning there's no Lumine, Sigma is inexplicably back again, and Axl just sorta jumps out from behind a barrel and says something vaguely ironic that none of the characters acknowledge as ironic. They'll neither explicitly deny the events of 1-8 nor provide any sort of explanation for what happened to the unresolved plot threads of 7 and 8. Axl might not even be a special new kind of reploid anymore (or rather, it might not be relevant).
(Source: https://www.rockman-corner.com/2020/04/the-making-of-rockman-zx-series-part-5.html )
However, we also do know that Sigma returns at some point because a big Zero series lore point is that X finally managed to defeat Sigma once and for all by making use of the Mother Elf before it got corrupted into the Dark Elf. What we are missing is the exact details regarding HOW Sigma returned since he was abandoned in space, though the biggest hint we have is that his data still resides within the Next Gen Reploids and they were thrust back into production eventually despite the known risk regarding doing so.
Sigma's return doesn't have to be in X9, but the series getting continued will have to include him returning at some point and they absolutely cannot simply gloss over the whole Lumine thing unless they're going the route of just not caring about their own canon whatsoever, which I think would be a mistake.
What I will say about X DiVE is that the story can make a certain degree of sense when you consider that the stuff from other games is just data on "Player's" PC. The only thing about it that's a major red flag for becoming canon later is how the ever living heck the Sigma virus managed to infect someone's PC in another reality entirely. I can't imagine there being any real demand for them to make it canon regardless though, if they wanted to reuse the characters they could always reboot them into new interpretations completely separate from the events of X DiVE as a way of introducing them into the main series. Players would be free to headcanon regarding X DiVE being the reason for their inclusion, but it wouldn't be necessary lore to know regarding their introduction. ViA would need a complete redesign though, since he's basically just a Zero recolor.
Not that it seems particularly likely that they would do a Mega Man X9 after nearly 20 years since X8. Though, they could just shove these characters in a reboot, if they ever wanted to do that, but it's not like Capcom has been doing much with the franchise in general, recently, so I don't really expect anything at all.
That aside, the issue with leaving out the event missions from the story is that they lead directly into the climax. There's obviously stuff like like the characters talking about how you have their hunter programs now, because it assumes you did the events, but there's the more important issue of ViA's line of, "Player, you're the only one who can stop me." being from an event that isn't in the story, which is straight up part of storytelling in the climax.
Instead, what I get from X Dive is a non canon self contained story about making friends and the lengths to go to protect and preserve those friendships. That, or a story about some guy whose PC got infected with one of those harmless 90's "viruses", the ones that were used to just change your desktop image into a porn picture...
If you want an example of how a game tried to add the whole "it's a game" into it's canon, and most importantly, how bad the reception was (mostly because the implementation also sucked), and the writing gymnastics the devs had to do to try and correct course midway through it all, check Phantasy Star Online 2 and it's Tokyo chapters.
Welch. She appears to be a "player" rather than an NPC of the game. She was added in Star Ocean 3, and was "retconned" into previous titles in remakes, where she seems to know where she is.
Another character like this is Puffy, who has always been around. They're the characters that repeatedly show up in the series and show an awareness that they really probably shouldn't have.
They don't care and they never have.
Granted, I don't really want either of these things to be how Mega Man gets treated.
Blatantly false. Story was always second fiddle in the classic series, it's just an excuse for why Mega Man is going on yet another adventure. X, Zero, ZX, Legends, Battle Network, and Starforce all at least try to tell coherent stories with their continuities however.
They don't have to display awareness, as that's something they kind of see as something they're not technically supposed to do. Any awareness displayed, if displayed at all, would be a slip-up, on their part, and could be done extremely subtly. Showing awareness like this would more explicitly canonize X DiVE, but still not be particularly direct about it.
Like, it's not likely that anybody would've guessed that Puffy in Star Ocean is a "Player Character" in Star Ocean before Star Ocean 3, but now with the context of Star Ocean 3, we're now aware of the distinct possibility of why she becomes increasingly agitated with the main characters of Star Ocean may be because she's specifically targeting them to be her rivals in competition, and continuously losing as the series goes on, but even now, it's still not explicitly stated (that I know of).
Or they could just have explicitly 4th wall breaking characters, but clearly that could ruffle some feathers.
I actually played Ar Nosurge before Ciel Nosurge, so the fact that Ion was aware that she's in a game, and the realization that you're kind of forcibly taking over the actions of the main character as the player of that game (without consent of that character) kind of blew my mind, since they don't really get into this fact until you're half way though the game, but Ciel Nosurge, the game before Ar Nosurge, is actually pretty explicit about this from the start. Earthes, one of the main characters in Ar Nosurge, is specifically a remote terminal Ion built for you to inhabit, following Ciel Nosurge.