Although they planned that the Marvel movies could see Mega Ultron, in the end they did not use this brutal villain against the Avengers.
The Concept Art of Avengers: Age of Ultron (2015) showed the possible inclusion of Mega ultron in the final battle, but in the end they decided to cut the appearance of the giant robot and we have not been able to see it in the Marvel movies. This installment of the UCM had the return of the director Joss Whedon and the greatest heroes on Earth who gathered to face a villain created by Tony Stark and Bruce Banner, while manipulating Chitauri technology and the Mind Gem that was in Loki's scepter.
This film was very important, as it was the basis of the agreements of Sokovia (country that almost completely destroyed) and therefore the start of Civil War, which caused the breakup of the Avengers. The final battle almost has a disastrous result, but it would have been worse if Mega Ultron had made an appearance. But ... Why have they not dared to introduce it in Marvel movies?
These are the reasons.
Ultron was built in the Marvel movies to protect humanity, but he quickly turned against them and planned how to use Sokovia to start an extinction level event. This plan led Ultron and the Avengers to have a confrontation in the floating city, where Ultron had a suit made of Vibranium and hundreds (or thousands) of robots to launch against the heroes. Originally there were plans for him to be a much bigger threat in the literal sense. In 2018, the artist Phil Saunders revealed a first piece of concept art by the end of The age of Ultron that included Mega ultron, which was a collection of Ultron robots working in unison to create a giant version of Ultron.
The concept is similar to the idea of a Rat King, and the art shows the Hulk and Iron Man trying to take down Mega Ultron, but it didn't make it to the movie. The reason for Mega Ultron's absence, according to Saunders, is likely because the swarm doesn't make much tactical sense.
Ultron's plan was to divide the Avengers, so giving them a huge rival that all Avengers can attack at once was a strategy that didn't make much sense. Also the effect of seeing a character suddenly grow, they left it for Ant-Man in Captain America: Civil War (2016).
It would have been great to see Mega Ultron in Marvel movies, but they may save it for the future. Since in the comics we have seen many times how this villain has returned to attack Earth.
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