Some faults
I have no qualms with sprite movies, even ones that closely relate to SMBZ, so I won't tell you about how lame it is to see another Mario and Sonic crossover featuring Dragonball Z sound effects and antagonist characters that are simply recolorings of Sonic.
The intro was pretentious. Another lame cliche that people can't stand is people putting themselves into their movies as some all-powerful demigod for no good reason. Luckily, it was only the intro.
I liked how somebody finally used the dojo master as a supporting character in one of these movies. He ranks among one of the biggest badasses of Nintendo games. I don't remember him shooting energy beams from his palms, nor can I imagine how he mentored four different characters from different dimensions, but it was nice to see him used properly.
The writing wasn't half bad. What I mean by that is, it could have been much worse. There was few cliches in the dialogue, and the characters came off as believable.
What I don't like is the lack of credits. You used sprites, music, and sound effects that weren't yours, and you have to give credit where it is due. Instead of just ending with a replay button. It's the courteous thing to do.
Good luck with your series. Surely this will be a great way to improve your overall skill at movie making.