Of course it has its own games. It would be even more pointless without them. Sadly almost all the "games" are either crap, porn, or both and the decent ones are still pretty expensive and hard to find. I'm told that the composite out is the best of any PC Engine system, and I don't have any trouble believing that. I guess that would go double for the Mega Drive module then...
No Dragon's Layer or Space Ace, unfortunately. Not even Road Buster, I don't think.