If Mega doesn’t have it, it not on the island!
When it comes to wine and liquor, that is absolutely not true. La Europea has a much larger selection, as does Covi. Mega/Soriana doesn't usually stock some pretty basic things, such as Havana Club Añejo Blanco, that even Chedraui stocks.
It's actually not true of anything else I can think of, for that matter. I like Mega/Soriana a lot and it's often the first place I'll look for things, but it is very frequently not the last place I look.