Hi,
Thanks for your query.
Yes, you are right, if you use any module in your mega-menu then they won't be shown in offcanvas menu. Please check the screenshots where i've marked the modules and they are missing in offcanvas on our demo site also:
http://prntscr.com/mw5796
http://prntscr.com/mw57d1
If you want not to show the specific menu item in offcanvas then you can create a new menu with all the menu items except that one and then assing that menu within the offcanvas module that is published in the offcanvas position.
Even you can show any module by publishing it in the offcanvas position, but not through the megamenu feature. Sorry about that!
Best Regards