The Wii VC games technically shouldn't obey the Wii sound settings because each game is suppose to be a direct port which is ran on top of an emulator. To my knowledge, the hardware for most (if not all) of the consoles that are emulated on the Wii did not have a stereo/mono option.
Instead, the Mono/Stereo output was controlled and toggled from within each game. As an example, I seem to recall the Final Fantasy games for the SNES had these settings in their options from within the game play menu.
I never played Super Mario World much as a kid (didn't own a SNES :( ) but Nintendo has always tried to spot-light the quality of their new hardware by the release of a few games that integrated most of the new technologies provided by their new hardware.
I think the SNES was the first Nintendo console to use stereo sound. Since, SMW had stereo sound, I doubt there was a way to cut if off because Nintendo would have wanted to show off the systems audio capabilities.
SOLUTION
Sorry for taking so long to respond to this with, um, an actual solution but there is a hardware way to fix this.
Plug your left and right audio RCA cables (which I assume you are using) into an RCA splitter. You can then plug your one cable into your working TV channel and you will get both audio channels to play through the one speaker.
Here is an example of what you are looking for. As you can see, these things are dirt cheap, and if shipping isn't an option, you can probably find one in a local Walmart, Target, RadioShack (or international equivalent.)
I actually have a couple of these splitters and they were necessary in my childhood because I only had a mono-input TV in my gaming room. I actually daisy-chained some of them because I had a bunch of gaming systems as a kid and I didn't have a multi-input box. To much daisy-chaining will degrade the quality of the sound, but I'm guessing with your setup that's not going to be an issue.
Commonly with virtual console games, you can hit the center button (Wii menu?), and exit the game. This will automatically save the state of the game. Next time the game loads you'll begin at that spot; however, after reloading once the save state is no longer available -- resetting the system won't allow you to resume from that state again.
Best Answer
After the credits roll and Mario/Luigi, Peach, and Yoshi make it all the way back to "Yoshi's House" and the eggs hatch, it shifts to the tableau of Mario, Luigi, and Peach (that you mention).
For the SNES and virtual console version of this game, that's all there is to it -- there's no new game plus option, and no way to save the game after beating bowser. The Gameboy advance version of Super Mario World (It was rereleased as Super Mario Advance 2: Super Mario World ) however, featured additional content after the game ended while collecting all the dragon coins. But, as this was specific to the gameboy advance port of the game, yes, that final tableau is really the end.
Edit: Actually, I'm not positive about the GBA port. It depends on whether or not Bowser's castle level has dragon coins, I suppose.