After waiting with immense anticipation and socializing this 'coming' feature with our stakeholders, we received megamenu in our tenant this week and experiencing the same issue previously described by Rasmus Österholm & Randy Slavey - it is incredibly buggy!
1. Due to the drop-down being so slow to load, end-users typically click on the text before realizing there is a menu existing. We thought setting the top level to headers would be a good solution. Wrong! The header text morphs itself into a # URL and just reloads the page they're on. Obviously completely wrong behavior and very confusing for end-users, so we will have to rollback to cascading menu.
2. Additionally, was there any attempt to test in SharePoint iOS app? The megamenu sits under a single drop-down header, which opens into a huge list for even a modest sized site. There is no menu structure. If you click on one of the 'header' items it opens a completely unrelated generic SharePoint page showing your own recent activity and no access to the menu without going back to the previous page.
3. The vast white space with only two levels as another user has mentioned is unattractive. If you view this on a laptop screen the menu doesn't span the screen it becomes a single column dropping down beyond the visible area and you have to scroll to see remaining items.
So in all, you've released a completely unusable feature. I'm not even a dev and can identify these incorrect behaviors. How do these things pass QA?