Hey I just saw this post, and the same thing just happened to me. I played through Chill Penguin. Defeated him, music plays, I teleport away, screen fades to black, then nothing.
I'm using a No-Intro romset.
I'll try the patch on the v1.1 version of MMX, and report back.
EDIT: Confirmed, v1.1 or Rev 1 of Megaman X is what needs to be patched. As soon as I defeated Chill Penguin it went right to the "You Got" weapon screen. :-)