Power supply requirements – want to avoid dumping excess heat in resistors, as RGB LED emitters need 2.4Vf for Red, 3.4Vf for Green and Blue, a 5V supply will waste the least amount of power in the emitter resistors.
WARNING – Mega needs +5V so external +5V supply needs to be connected by the shield to a +5V pin and the 0V of external +5V supply connected to Mega GND.
You cannot use the 2.1mm power in connector as it has a low voltage drop schottky diode in sereis for reverse polarity protection and a low dropout voltage regulator in series, so there will not be a high enough voltage for the Mega to run reliably.
You need to unplug the LED driver shield when you want to connect the Mega to the computer USB or use a jumper shunt for +5V isolation.