Jailbreak 7.5 AND Official firmware 4.5
Whichever firmware the MegaSD shipped with (since I can't download anything but the manual from the downloads section).
Whether I have an SD card inserted into the Mega SD or not, I select to "Run Cartridge" from the Mega SG menu and I get a black screen. If I go back to the Mega SG menu and choose "Run Cartridge" again (without rebooting) it will boot the Mega SD menu.
In both cases, the green light on the Mega SD lights up.
I'm going to test it again without using the jailbreak firmware, but it seems like something is definitely up.
UPDATE: Flashed back to stock Analog firmware and it still has the same issue.
UPDATE 2: It looks like my Mega SD wasn't set to "Game load reset type" as HARD when it was shipped to me. Actually, most of the defaults that the manual states don't really match what I'm seeing in my menus. I'll go through and adjust accordingly. The Game load reset type setting change seems to at least get me to the game selection menu without needing to reset.