Does the Retron 3 work with all of the original system accessories, such as the Menacer or Light Gun? I assume that the 32X and Sega CD are out of the question.
From the product page for the Retron here, they claim it works with ALL original system controllers, this would include the Menacer and the Nintendo Light Gun. Several forum posts on different game sites confirm this. Since they just plug into the standard controller port, they should work well. This system does not have compatibility with the 32x or Sega CD, so you are correct that they will not work.
However, I would caution you that certain restrictions that were present on the original hardware would still be present here. Specifically, the Menacer requires a CRT television, since it uses the scan lines to determine what you are aiming at. Since TV technology has changed considerably since 1992, you either need to drag out that old CRT, or forget about the nostalgia associated with this old school accessory.