TL;DR:
If I connect it other way would any components blow?
No.
Let's have a look at the circuitry
All following schematics are taken from the 1993 manual.
To start with, the wall wart is delivering 9..10V (depending on region *1) DC.

(Page 7 lower right corner, B6/B7)
Polarity is not mentioned at all - not here nor in any other overview or part list. Only the drawing of connector CN7 in the power circuit (D1) seams to indicate plus at the center pin and ground outside:

(Page 11 middle left, C/D-1/2/3)
The circuit itself isn't surprising. There is a diode protecting against reverse polarity, so no need to be afraid of frying the circuit. That is unless it receives high voltage. The Diode is a 1SR35-100A, good for, as the name suggests, 100 Volt (*2). So short cutting it at mains level will fry the circuitry. So lets better stay below.
Having such a diode in line with the regulator, working as half wave rectifier, would allow a feed with AC as well. But I'm not sure if it's sufficient, to me it seems to assume a full wave rectifier, as the 0.022µF capacitor is comparatively small. But it might work.
The 7805 regulator delivers 5 Volt at output. It is split into three separate routed branches (not shown on the insert, check p.11 C3):
- VCC for all digital electronics
- AVCC for audio components
- VVCC for video components
The later two only used by the Video Display Processor (VDP).
To see what the minimum voltage for feeding is we need to look at the 7805. It seams to be a standard type, not an LDO (Low Dropout), so a 2 Volt drop is to be assumed. The diode has a drop of 1.1V. Operating in line with the 7805 we get a minimum input voltage of 8.1 Volt (5 + 2 + 1.1).
Interesting is a tap before the diode named +9V (*3). It is not used anywhere within the MegaDrive, but delivered to the peripheral connector CN2 (see p.9 C/D-3/4) aka expansion port. Tapping it before the diode allows expansions to draw more than the 1A the main system is limited to by diode and regulator. Of course this requires as well a larger PS.
Bottom Line:
- It got a protection diode
- Reverse polarity will not kill the MegaDrive
- Plus seams to be in the middle, ground on the outside
- PS should use a full wave rectifier (always better)
- It needs at least 8.1 Volt
- It shouldn't give more than 10 Volt
- It should deliver at least 0.85 Ampere, better might be 1A
- Anything above 100 Volt may fry the system
*1 - Strangely enough the 240V UK version is supposed to give 9V while the continental 230V version is rated at 10V. See p.38
*2 - Yes, I know, there is more to it, just details don't matter here.
*3 - The naming is, as so oft only a hint, as this can carry 10V as well, depending on the PS.