Step 1: Understanding pollen grain development. 
Pollen grains develop from microspores, not megaspores. Microspores are formed through the process of microsporogenesis in the anthers of flowering plants.
Step 2: Analysis of other statements. 
     Option (B): Pollen grains do contain two cells: a generative cell and a tube cell. The generative cell later divides to form two sperm cells.
     Option (C): Pollen grains are released from the anthers, not the stigma, during pollination.
     Option (D): Pollen grains play a critical role in the reproductive process by carrying male gametes for fertilization.
Step 3: Identifying the incorrect statement. 
The statement that pollen grains develop from megaspores is incorrect. Megaspores give rise to the female gametophyte.
\[
\therefore \text{The correct answer is: Pollen grains develop from megaspores.}
\]