How do you get level select in sonic 3 in sonic mega collection

Sonic 3, in any incarnation apart from the lock-on game Sonic 3 and Knuckles, does have a level select code. When the Sega logo fades, quickly press up twice, down twice and up continuously (an minimum of three times is required). This should take you to a level select screen. This is notably difficult, possibly the most difficult level select on any Sonic game.