I also like the clean look of the Renault radio so don't want an aftermarket radio. I did change the factory speakers for proper Pioneer onws, which makes a drastic improvement of the sound quality.
My advice from years of Renaut experience: don't go to the dealer for anything related to audio. In most cases they don't know what they are talking about or tell you things that are simply not true like in your case.
This is a pic of your updatelist radio with the 6CD changer (beige color is from the privilige model), but you can also check this in the official Megane brochure yourself

Here you can see some pics of the iPod connection if you're interested.
In fact, I used to have an MP3 CD hanger connected to the radio years before I switched to the iPod. It has a massive storage facillity, where with a cd changer (even a model with MP3 capability), your limited to only 6 cd's.
viewtopic.php?f=12&t=6127The Cabasse Auditorium tronic system is something completely else, it is indeed composed of 2 parts:
1) in dash cd changer unit which also controles the Tuner
2) separate amplifier/tuner unit located in the boot of the car, which has also the connections to the speakers, power, etc. There is a long cable connecting the in dash unit to the boot unit
The system can be installed afterwards, but you will need both units and the cable and all components are not cheap (they can be found on eBay though sometimes).
In addition, as you have the standard radio, your connections for speakers and power are now in the dash, and with the Cabasse Auditorium troninc, obviously, they have to be lengthed to the boot of the car.
I looked at installing this system thogh, as I really like the look of the system and the sound it gives compared to the standard Tunerlist/Updatelist radio.
But I wanted to connect my iPod using the Dension Ice>Link Plus interface to the radio and this is not compatible with the Cabasse Auditorium tronic system.
The Renault ipod/USB interface "Audio connection Box" is also not compatible with it, so it wasn't an option anymore for me.
Instead I bought a second hand Tunerlist Cabasse radio from an old model Laguna (also found in the Clio II RS).
As it is basically a Tunerlist with a little bit more power (4X30 watt instead of 4X15 watt) than the standard Tunerlist radio, I can still use the steering wheel controls and use my iPod with it. There is also a Cabasse Updatelist version.
Megane II 5D-Hatch 2003 * 2.0 16V Autom. Dynamique * Gris Boreal
17" Steppe * Leather * RS front grilles
Xenon + 5LED side lights * Clear side indicators * Ph. 2 rear lights
Cabasse Tunerlist * Pioneer TS-Q131C/TS-E1396 * Ice>Link Plus + iPod