I already had bought and played through Mega Man X myself, with no noticeable quirks, but I decided to investigate anyway. I first tried running the game again normally, dying in the same places I noticed the user in the video die. No glitches occurred. Next I moved the game to play from the SD card to see if that would affect it, but again I encountered no glitches. Finally, I erased the game and re-downloaded, considering that maybe something had happened to the game on the network since it was initially released. Nevertheless, it ran fine even when I tried to invoke the palette changing deaths.
Considering this is the first I've heard of the issue, I'm left to conclude that circumstances of glitched Mega Man X downloads are pretty isolated and infrequent. We also cannot account for other potential issue's with the video maker's Wii that could be causing the glitches, and not the game itself. Nevertheless, if you downloaded Mega Man X on Virtual Console and experienced a problem with it you should report it to Capcom immediately.