You need to format it first. Start CHANKA, start the emu without any game, that would lead you to the Dreamcast's setup screen. Go to FILE, then choose the Xed VMU, and select DELETE ALL.
Now exit, and exit CHANKA. Restart CHANKA with MARVEL VS CAPCOM. You will then be able to save.
Oh, and one more thing, dont try to reconfigure the clock settings in the DREAMCAST menu, cause CHANKA still doesnt have BIOS battery emulation.