What was Buuhan expecting when he claimed that Goku wouldn't beat him even if he merged with Vegeta?
Well, Buu has actually mocked SSJ3 Gotenks & afterwards he did it with Vegetto, despite being fairly outmatched. Gohan was the only clear exception of this, even though, he felt in need to measure his capabilities beforehand.
Gotenks Buu also believed that not even SSJ3 Goku could make a single scratch on him, whereas SSJ Goku actually can damage Base Super Buu.
Also, Gohan Buu going with a blast towards Goku & Vegeta doesn't exactly match his actions with his words.
@Papasmurf
I don't exactly believe in Kid Buu being stronger than Gohan Buu in the anime, but when it comes to the manga, I think many people underrate him because of Goku and Vegeta's statements, so it's possible that not even in the manga, Kid Buu was actually weaker than Gohan Buu, but neither has to be stronger. But, yeah, is possible that SSJ3 Goku was at the level when he fought Fat Buu or a little bit above, also that there's no such a big difference in between SSJ3 Goku (vs Kid Buu) against SSJ3 Goku (vs Fat Buu).
I don't think Vegeta was just a SSJ against Janemba, but he never appeared as SSJ2 Vegeta until fighting Kid Buu (which was far before the movie was produced) and that's why he isn't animated like that.