After attempting to sabotage Ultron Sigma by Dante giving him the Soul Stone (since you must have a soul in order to harness the power of the Infinity Stone, and Ultron Sigma doesn't have one), Ultron Sigma will actually transform into Ultron Omega. Ultron Sigma may have been the main antagonist of Story Mode, but Ultron Sigma actually turns out to be the Final Boss of the game.
After his transformation, Ultron Omega will attempt to drain the life out of Dante. You will ultimately have to fight and defeat Ultron Omega twice in order to win Story Mode: the first to save Dante, the second to finish him off once and for all. The first battle sees Thor and Mega Man X go against Ultron Omega with the Power Stone and Soul Stone. Since you have to defeat Ultron Omega before Dante dies, try using the Soul Stone's Infinity Storm to get both fighters on the battlefield in order to cause get damage to Omega.
Once Dante is rescued, Iron Man will appear and give Mega Man X the Infinity Buster to defeat Ultron Omega. However, the heroes must again stall Ultron Omega long enough for X to power up the weapon. This time, it's up to Captain Marvel and Dante, with the help of the Time Stone and Mind Stone, to defeat Ultron Omega. The Time Stone will allow you to string together longer Combos, but the Mind Stone is actually recommended since its Infinity Storm lets you have a number of more Super Moves. Defeat him in this last battle, and X will destroy Ultron Omega with the Infinity Buster.