How to Initialize Multiple Instanses of on chip mem in SoPC

You can solve this in the way that you proposed.

An other solution in line with the global design tool flow of Quartus SOPC could be as follows:

Each memory module with a different content (different .mif file) can be seen as a different component. So if you generate for every on-chip memory block with specific inital content a new MegaWizard module in SOPC, the whole flow is OK again.

(Of course you have a point that it would not be necessary... But then you have to intervene in the design flow, causing trouble in the use of your design afterwards or by other people...)