I have that collection, and due to not having a second pad to play 2 player Sonic 2, and kill the first boss, I can't unlock the original SMS Phantasy Star.
Ouch :/ That sucks. Why couldn't they just be more lenient and have it so you just have to beat it in Sonic and Tails mode (the default mode) regardless of one or two players, or better yet just forgo that and have you either beat the (ridiculously easy) first boss or, if they want to make people actually earn it, beat the game.
I guess there's always just emulating Phantasy Star since, well, that's a bs way of unlocking.
For some reason, reminds me of a time where I unlocked Ristar in Sonic Mega Collection, only to buy it on Steam because save states and I don't have enough time to go through the whole game in one sitting.