I really think that he was working himself up to telling her who he really was and quitting villainy! 

His comment to Minion about how Roxanne ‘will never find out’ who he really is–I think that is him trying to deceive Minion, to downplay this whole thing. No, Minion, of course I’m not wearing cologne! No, of course I’m not going on a date with Roxanne! No, of course she’s never going to find out who I really am; this isn’t a big deal!

But it is a big deal.

The novelization of the movie actually implies even more strongly that he’s planning on quitting villainy, and that he wants to tell her who he is. He says, when the two of them are talking about Megamind, “maybe he’s met someone who changed his outlook on things. He might be thinking of hanging up the whole villainy thing altogether.” Not wanting to be the bad guy isn’t something he just blurts out to Minion on the spur of the moment; he’s actually thought about it.

Megamind wasn’t planning on telling Roxanne in the restaurant, of course, but I do think he was planning on telling her–probably after the date, when he took her home.

His question to her about whether or not she’d still like him if he ‘was bald and had the complexion of a popular primary color’–that’s him testing the waters and also maybe him dropping a hint, I think. And maybe Roxanne’s response isn’t entirely encouraging, as she tells him that you should judge people based on their actions, but it’s also not the most discouraging thing ever, either. She doesn’t tell him that his ‘random non-specific example’ sounds ugly or unappealing, and she doesn’t just laugh off the idea. 

She says that you should judge people by their actions, and Megamind knows that a lot of his actions haven’t been good, but he’s planning on quitting villainy; he’s made a new superhero; he’s cleaned up the city and returned all the things he’s stolen, and so maybe, maybe–

He’s not lying when he tells Roxanne that he never thought she would actually be with him, but Megamind’s always been willing to attempt impossible things.