There are...a lot of events there. I couldn't actually find the event that changed him to the damage animation. However, just a hunch, do you have a 'play animation' event after the 'set animation' one? If not, try it.
Somthing like:
'Megaman' on collision with 'Baddie': Set animation to 'Ouch!', Play Animation.
Whenever I have trouble with animation like that, it's usually because I havn't put a 'play animation' event in. It's worth putting one in any time you need an animation to start afresh; otherwise, for some reason, the animation might start halfway though or something. Usually happens after the animation has already played, but only partially; Construct seems to remember which frame it got to, and starts it from there next time.
Try adding 'play animation' and see if that helps.