Aren't Rom and the Micronauts owned by a toy company? Marvel had the licence to do the Comics but never owned them?
Yeah they were both comics that were written as tie-ins to toys. However Marvel do make a claim to the original characters created for the comics.
The case with ROM is clear, the character was named and established by the toy company however the supplemental characters are more complex. For example Marvel have put in a dispute over Hasbro trying to trademark Dire Wraiths, they were a villain that Marvel created for the ROM comic but IDW are also using them as their villain (with a different appearance though), the Dire Wraiths have even been used in X-Men comics.
With the Micronauts it was again a case of a toy line tie-in, but several characters were original creations that Marvel created for the series such as Marionette, Bug and Arcturus Rann. Bug was originally supposed to be based on the Galactic Warrior toy but he looked nothing like him so they changed his name and claimed him as an original character. As original characters Marvel has continued to use them in different comics after they lost the Micronauts franchise.
As far as I'm aware the new Micronauts series by IDW does not use Bug so I'm not sure why there would be an issue with his use on film. TBH as far as I can see the rights should be with Marvel unless there is something else with the rights that I'm not aware of.
They mention Bug almost being in the film at around 21minutes but there it just seemed to be that they just decided not to use him.
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The source of the story that they couldn't use Bug seems to be from about 55minutes into Geeknations Movie Crypt ep85 (nfsw language). This one seems to be from January 2015 while the video is from March 2014.
So really I have no idea why Marvel can't use Bug, as far as I can see the closest to having a claim might be Hasbro but as far as I'm aware there has been no attempt to by them to use him in any of the post-Marvel versions of the comic. About the only thing I can think of is that Gunn was not allowed to use Bug because he has been claimed for use in another film. For example for Ant-Man and Wasp it they plan to explore the subatomic universe.