Megaman - Suite
Composers: Manami Matsumae; Takashi Tateishi; Yasuaki Fujita; Harumi Fujita
Performed live by the Swedish Radio Symphony Orchestra
Conductor: Charles Hazlewood
Orchestral Arrangement: Andreas Hedlund
SCORE: Orchestral Game Music
Produced by Orvar Säfström
http://scoreconcert.com/
Themes from Mega Man 1 - 3 are here, including a couple of Wily Castles.
Indeedy. It was during the same concert of that year. Apparently, this is a thing they continue to do ala Video Games Live.
Official site