HELL SIGMA can be a problem if you're not (ab)using the fact that he doesn't have invincibility frames. He REALLY saturates the screen with nonsense and it can be very hard to keep up. Even still, it's not that long of a fight, so that's some mercy - it's almost like they learned from the nonsense that was X4's Sigma!
The secret cutscene being hidden behind not getting Zero and farming 3000 Souls is really bizarre to me. If you're killing the 8 bosses quickly enough, you get 200 each, so 1600 in total. The rest would have to come from farming the normal Nightmare enemies, for 8 a pop, so you need to kill
175 of the shit squids - after all, you can't get to Dynamo without unlocking Zero first! Also, for some bizarre reason in a game that has a farming mechanic, Nightmares only drop their Soul ONCE, not even again if you leave and re-enter the stage,
unless you go into a different level and re-introduce the Nightmare effect (or change it, I guess - but if that's true, you could never restock the Nightmares in Metal Shark Player's stage, as that only has one possible Nightmare effect...). This is another way of skipping directly to the Gate stages (they really didn't want you to have to play through all their ass levels, huh) and this is what will lock you out of getting Zero's black armor, because you can't both have Gate's stages still locked off and get the 9999 souls required to have Nightmare Zero be at level 4.
In short, a mess.
Zero next, huh? That's a back-to-back of flawed games I highly anticipated. Don't get me wrong, I
love the Zero series, but the first entry had some glaring flaws. The biggest is probably psychological; the often-spoiled now
ranking system
makes it feel like the game laughs at you for doing badly, and mocks you further if you dare to use one of its core mechanics to have an easier time. Said
cyber-elf
mechanic is also super unbalanced, requiring a completely absurd amount of farming just to obtain even one of the good rewards, let alone all of them.
My personal advice is: don't worry about any of this, just play and don't think about your performance. If you enjoy the game, come back later and try to make the numbers/letters go up, otherwise ignore it.
You do lose out on one so-called EX Attack per boss, but that's not an issue in Zero 1 per se; you just don't get to see it, but unlike in later games, you can't obtain it.
If people really want to see the spoiled thing, I made an in-depth LP of Zero 1 back in the day and can easily link with timestamps for the people who're curious.
One other thing: for some reason (the developers not wanting to force you to play shitty stages? Huh Huh Huh), you can decline doing missions in this game, which will
permanently lock you out of doing them, so...don't say "No" too often. You literally can say "naw don't wanna" to every single of the 8 standard stage boss missions and start with the final stages immediately.