Saeeey Gaaaaar

In Italy the brand name Sega is a swear word. It means to use a saw but when you say sega to a person it means to M*sterbate. When they shouted out their logo at the start of sonic the hedgehog, it is like shouting W*nker. 

I'm guessing they would turn the volume down when they first turned on the console. 

In some forums people are debating if that is the reason they didn't shout the logo in sonic 3. There is no proof they stopped shouting their logo because of the Italians and the company itself never revealed why. 

If you're not Italian then it would have sounded futuristic and cool. 

Hidden VMU

The DreamCast was so advanced that even the memory cards were games consoles in their own right. Certain games on the Sega would send an 8 bit game to the memory card and you could play a dot matrix side scrolling game similar to that of game boy game. 

~image generated by artificial intelligence (chatGPT) 

When the Memory card was plugged into the game controller the screen would be used to display game stats. The memory card was refered to as a VMU. It would keep record of your game progress and allow you to play games retro style.