Never seen a Robot Master leaving his own Boss Room... :-)
This glitch is from Mega Man 5 known in Japan as Rockman 5.
If you want to do it, you have to use correctly 3 Super Arrows like in the video and after jump, pause for a moment game. It's very hard for a first time try, but if you practice a lot you will see Mega Man walking on water. Finally, in Wave Man Boss Room start jumping right away (don't move) when the fight begins. This will cause a glitch, where the Robot Master run off the side of the screen and loses all his life energy.
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