Megaloblastic anemia should be treated with both folic acid and vitamin B12 because:

Megaloblastic anemia may be caused by a deficiency of vitamin B12 (cobalamine) or deficiency of folate. Unless it is clearly established, which of the two deficiencies (folate or cobalamine) is the cause anemia, treatment should include administration of both folic acid and vitamin B12. If only folic acid is administered in a patient with megaloblastic anemia due to vitamin B12 deficiency, worsening of neurological symptoms (cobalamine neuropathy) is seen despite an improvement in the hematological symptoms (anemia). So "Folic acid alone causes improvement of hematologic symptoms but worsening of neurological symptoms" is the single best answer of choice. Ref: Harrison's Principles of Internal Medicine, 17th Edition, Page 651