Most MegaSceptile teams are use a scarfed Discharge user to activate Lightning Rod. Thundurus-T is the common choice but Rotom-H could work (if scarfed).
Volt Switch for a non-scarfed Mon is not very good, especially on Rotom-H which tends to be more offensive than its washing machine counterpart. On a scarf set though, TBolt, Volt Switch, Over Heat, and HP Ice is pretty good.
Focus Blast is never a great option. HP Ground for Heatran is a safer option.
Most non-choiced Mons should carry protect (barring exceptions like Cresselia) though Sceptile with its speed might be able to work past that. I would probably still run it though.
While common in OU play, CB Azu is rarely seen in the VGC meta. This can be mostly attributed to the sheer presence of Intimidators that reduce the effectiveness of Azu. Belly Drum Azu can at least work past the drops.
Given the above, a Defiant or Competitive user would complement Azu nicely. Bisharp in particular works pretty well and helps Azu out against Aegislash which would otherwise to pretty well against it. The current popular set utilizes Focus Sash though LO and Banded versions have been used.
For the last three slots here are some things to consider:
a. Something with Intimidate: Intimidate is very important for helping check physical monsters such as MegaKang and MegaMence.
b. Speed control: Tailwind, Thunderwave, or Icy Wind would both work well with the above three.
c. Ghost is a strong typing in VGC is something you probably want on your team. Unfortunately aside from Aegislash and Gengar most ghosts are not viable. For this reason, expect a substantial number of teams to include Aegislash.
d. Something for weather: Zard-Y, TTar, and Politoed are all threats. Having some level of response to each weather is important.