This mega-menu is a page. You can add what you want on it : Blocks, layouts styles on blocks, ..
A page-type is installed with Anitya, let you create mega-menu in one click, the second one is to publish them!
Welcome to new Anitya I'm John,
These page-list template is optimized to display a large date (for a event or a blog) but is very useful for uny other purpose.