There are multiple reasons why that's a bad idea:
1. The maximum limit of how many palettes sprites on screen can use at a time, that limit is four, meaning that if you devote three palettes to the player, you then have only one palette anything else on screen can use.
2. There's a total limit of sprite tiles that can be in memory at one time, that limit is 256. Megaman overlays only 1 extra tile only per sprite. Apparently (I didn't recount), your mock up increases a single frame of animation from 11 tiles to 19. Expand that percentage out to the rest of MM's animations, and you're looking at like a 75% increase in tiles needed for the character. Considering that at any point in time, the remainder of the 256 available are allocated to enemies, projectiles, HUD elements, etc., you'd essentially have to remove half the other elements in the game to make room for them.
3. Moreover, there's a limit as to how many sprite tiles can be displayed on screen at a time, which is 64. Again, you'd have to remove other elements of the game to make room.
4. There's a sprite tiles-per-scanline (horizontal row of pixels) limit. That limit is 8. Go past 8 and cause flicker. (You can see this in Metal Man's stage when the spiked platforms on chains drop in front of MM and the drills rise through the ground. By having so many overlapping sprites, you'd essentially be guaranteeing flicker anytime more than one enemy is at the same screen height as any part of the main character.
Tiles are 8x8. Open up Photoshop, set your grid to 16 px with 2 subdivisions, and then separate your desired palettes into layers to see how many tiles you're working with.
Open a MM ROM in FCEUX and go to Debug--> PPU Viewer. To see all of the tiles currently in use. Only half of the 512 shown can be used for sprites, the other half are the background.