What scales are found on sharks?
Sharks do have scales. The sharks skin feels like sandpapper because it is covered with tooth like scales.
Nearly all fish, including sharks, have scales. We don't have any fossilized impressions of Megalodon skin, but there is no reason to believe that they didn't have scales like other sharks. The scales on shark skin are useful because they trap water against the shark. Thus, the water that rubs against them mainly rubs against the water in between the scales, and that greatly reduces drag.