Megatron's boots do indeed tab together, but I don't have him with me at work so I'll try to describe it later when I have the figure in hand and can look at it properly. Basically there's a peg on the inside of the wheel that plugs into a hole on his shin. I generally TF him in such a way so the wheel hides behind the shin and doesn't make his shins look way too wide, and it seems to hold just fine, but the official transformation does indeed involve the legs pegging together pretty securely.
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