It stands to reason that Wily and Mega man would already have seen him on TV. While Mega Man would have known something was up, Dr. Wily might not have noticed. Zero on the other hand probably has a better eye for details.
heh, you called Omega Zero in the comment ^_^ Why is Protoman still dressed as Roll at this point anyway?
Just to creep the hell out of Omega?
Angel85, he was probably hoping that no one would realise it was him and leave him alone. Since Roll isn't considered an imediate threat.
Omega is Zero's Psycho personality, the "Maverick" Zero. The other Zero is "Zero's Heart" as mentioned by Ciel at the Zero vs. Omega battle (Megaman Zero 3)
Also, Protoman's dressed as Roll to fool Dr. Light. As for leaving, Dr. Light probably told him to go get some groceries or beer or something.