Modifying SharePoint Modern Sites requires that Scripting Support is enabled on the site. Scripting support is a requirement from Microsoft.
Scripting Support needs to be enabled before Mega Drop Down is "Enabled" from the MDD Administration Site.
Please follow these steps to enable scripting:
(Get-SPSite -Identity "http://<sitecollectionurl>").DenyPermissionsMask = [Microsoft.SharePoint.SPBasePermissions]::EmptyMask