I played Mega Man 2 on VC pretty much immediately before Mega Man 9 came out in 2008, and found it to be INCREDIBLY easy compared to MM9.
Did you play Mega Man 2 on Normal or Difficult? The Normal mode is actually an easy mode of sorts that was created for the North American release, and the Difficult mode is the original Japanese difficulty. In either case though, I do think MM2 is the easiest game out of the ten. I believe the reason for this is because they were addressing complaints that the original was too hard, so at this point they were trying to find the sweet spot of difficulty.
If you find Mega Man 10 to be frustrating, then have you considered playing it on Easy first? I think it might be a good idea, so you could learn the stages for when you play on Normal. The reason I started on Easy is because I didn't want to be spending an hour just trying to beat a stage. That isn't fun for me, and if it isn't for you, you should consider switching. Also consider using Proto Man, as he is easier to use than Mega Man.
Well for instance, although Pump Man is technically weak to Sheep Man's weapon, it's extremely hard to hit him with it. You're better off just using the Mega Buster. Luckily, Pump Man has a pretty easy pattern to avoid
I think you're not using the weapon right. The weapon can penetrate Pump Man's Water Shield, so you just have to anticipate where he is going to jump and put a thunder cloud there. You can defeat him using just three shots if you're crafty. Like most things in Mega Man games, it's pretty easy once you figure out what to do.
The boss encounters in 10 seem a little harder, though.
I think you're right about that. It would seem that their patterns require a bit more precise movements in order to not get hit, so there is less room for error. When you first meet a robot, I'd recommend studying them to learn their pattern before you get too aggressive and start blasting them.