I think it's like, each week there is a conquest worldwide between some chosen characters. If you enter conquest mode, you'll play online matches with other people, only using the selected characters (I also think dittos aren't allowed). Then, the results are added up to see which character had more wins during that time.

In this image, for example people played 1000 matches worldwide, that means Mario players have won 590 matches, while Mega Man players only got 410 matches. Thus, that week's conquest winner is Mario.

Yup there are no Mega Man fans.