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Because that is the wily gimmick

To make the game challenging. Some games like Mega Man 7, Mega Man 9 and the PlayStation remakes allow you to go to a certain part of his castle (MM7) or only one of the parts separated from the story (MM9 and the remakes), while the first NES game don't had password and save before its remakes, so you had to play from the beginning.

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