In what ways are LEGO and Megabloks incompatible?
The problem is that while in general MegaBloks bricks fit with LEGO bricks, the quality control on the MB bricks seems to be much lower*, so the bricks/studs and holes are not always the same size.

As an example, I recently acquired a MB HALO Covenant Banshee ship for my son, and can safely show that:



The holes in studs do not readily accept rods (in this case a "wand" element from a Harry Potter set, but identical to the lightsaber pieces, etc.) - they are generally too small, however I could just force it into the front of the "hollow frying pan" type piece that Harry's holding. Conversely the handle is thinner than the wand, so it fits into the hollow MB studs fairly well, but is very loose in the LEGO cone.

With Erling bricks your mileage may vary but shound be ok, however you'd be better off with the newer 1x1 brick with knob(s), as then there's no ridge to fit within.

Plates and Tiles seem to fit fairly well - although generally the grip will be looser if you put LEGO elements on top of MB ones - the studs seem slightly smaller.

DUPLO Bricks seem to fit as well as they do with LEGO bricks:



*I state that the quality control seems to be lower as in this set for example, there are supposed to be 4 1x1 Round Plates (you can just see a transparent blue one behind Harry). Of the 10 or 12 that were supplied(!), none of them were tight enough to stay on the angular brick you can see on the wing edge (the one that just about stays on the other side falls off this one).