The construction of virtual power plant （VPP） provides an effective way to exploit the flexibility of power grids in mega-cities, but the existing researches and practices are still unable to support the organic coordination between VPPs and regional unified power markets under the dual-carbon goals. This paper comprehensively summarizes the current status of the VPP constructions and market mechanisms, and deeply analyzes the technical challenges of VPPs in mega-cities participating in the regional power market. Based on the construction needs of regional power market and future power system, the research directions of key supporting technologies such as secure grid connection, operation control, low-carbon dispatching, support systems, etc., for VPPs are further proposed. In addition, the future development prospects are prospected. It is expected this work can provide references to promote the secure, orderly and sustainable development for regional power markets, power grids and VPPs, and promote the construction of new power systems in mega-city power grids.