Mega Drop Down on Modern Sites requires that a SharePoint Add-In is added to your Site Collection. This Add-In is typically installed in your tenant's App Catalog site during installation.
Once you have enabled Mega Drop Down from the Administration Site, browse to your Modern Site Collection and click Add an app from the settings menu:
From the Your Apps page, select Mega Drop Down for Modern Sites in the Apps you can add section:
It may take several minutes for SharePoint to deploy the Add-In. Once deployed, Mega Drop Down can be displayed on your Modern Site.