Judging by your screenshots, it looks like you have Helix 3 and Helix Ultimate installed on your site at the same time. They are not compatible on the same site and conflict. This is especially true for the mega menu. You need to uninstall Helix 3 and especially all its plugins.

This interface is Helix 3 mega-menu. Helix Ultimate's mega menu looks like this And keep in mind, the mega menu only works for the top menu level. This doesn't work for child menu items.

This screenshot looks like you are trying to set up a mega menu for a child menu item.

The second screenshot is just an image to illustrate (and found on internet), in facts I don't have the switch for the mega menu on the left (as on my first screenshot)

Hi, You can follow this https://www.joomshaper.com/documentation/helix-framework/helixultimate/mega-menu-builder You can also follow Pavels instructions