Megadrill was always meant to be a super fast pivot, not a wallbreaker. It simply requires TOO much support. Defog, a steel AND ghost type, (And since Stoutland, one of the best Fakespeeders in the tier, gets Scrappy + Fighting coverage, not even they can come in safely), Stuff to handle Sharp and other priority users, AND something to help break Steels. That's just too much support neccesary for it. Plus it takes up the precious Mega slot.
What's better on Cobalion? Kings Shield or Drain Punch?
I dunno, defensive Landorus-Therian covers Espeeders, Steelbreaking (fuck Skarmory), and Defog all in one slot. Yeah, Bisharp and other priority users need some additional support, but Mega Beedrill's support requirements aren't THAT hard to meet.
That said, it's still better off running U-Turn over Megahorn -- not because it flatly outclasses Megahorn, but because U-turn is mandatory (as G-Luke said) and its other three slots are spoken for (Protect, Poison STAB, coverage). Gunk Shot is a really nice upgrade to Poison Jab, though.
252+ Atk Adaptability Mega Beedrill Poison Jab vs. 0 HP / 0 Def Kyurem-B: 214-252 (54.7 - 64.4%) -- guaranteed 2HKO
252+ Atk Adaptability Mega Beedrill Gunk Shot vs. 0 HP / 0 Def Kyurem-B: 320-378 (81.8 - 96.6%) -- guaranteed 2HKO
252+ Atk Adaptability Mega Beedrill Poison Jab vs. 0 HP / 0 Def Terrakion: 117-138 (36.2 - 42.7%) -- guaranteed 3HKO
252+ Atk Adaptability Mega Beedrill Gunk Shot vs. 0 HP / 0 Def Terrakion: 175-206 (54.1 - 63.7%) -- guaranteed 2HKO
252+ Atk Adaptability Mega Beedrill Poison Jab vs. 252 HP / 252+ Def Eviolite Chansey: 282-334 (40 - 47.4%) -- guaranteed 3HKO (Yes, this spread is a thing.)
252+ Atk Adaptability Mega Beedrill Gunk Shot vs. 252 HP / 252+ Def Eviolite Chansey: 424-500 (60.2 - 71%) -- guaranteed 2HKO
252+ Atk Adaptability Mega Beedrill Poison Jab vs. 252 HP / 0 Def Ursaring: 272-320 (70.8 - 83.3%) -- guaranteed 2HKO
252+ Atk Adaptability Mega Beedrill Gunk Shot vs. 252 HP / 0 Def Ursaring: 406-478 (105.7 - 124.4%) -- guaranteed OHKO
It's not the best thing ever, but I could see it working on certain teams.