yes, megas don't exist in SWSH.
That is incorrect. The code is not in the game. Hence those mons literally don't exist.
The only thing leftover are their names, and maybe ability name.
Those mons will have the wrong stats, and wrong model (a default Pikachu or egg model).
So don't add them into your save.
Yup, they are not.
Such a bypass is not known. It has to be caught again and again, between saves. Either that, or never turn off the game. This way, you only need to catch it once