LOL, yes. Personally, I would love one, but they'd rather just split it up into 3 games, they make more money that way :-) Apparently Zero 3 did quite well for them this past year, over half a million worldwide.
I was quite shocked at how many levels there were in Z3. Essentially 4 or 5 extra levels over the first two. Reminded me a bit of MM3 in that respect with the four "shadow" levels. It was quite a long game. As you said, it helped flush out the storyline, although it only took me half as long to beat since the levels were WAAAY easier than in Z2. I found the Z1 bosses to be the toughest and they've become easier since (remember, I haven't played Z4 yet).
As long as they keep feeding me my great 2D Mega Mans, I'm happy. If they're going to toss in a pretty cool, continuous story like in the Zero series, even better