Hello,
You have not placed the mega menu columns in right manner. Please Read the Documentation clearly.
If you use three mega columns. You have to add 3 Sub Items under the Parent Item. Then for Each Sub-items, add the links as Sub-items.
To Optimize the CSS delivery, use minification and join the style sheets. You can do that in Autoptimize Plugin.
Use the above tip, that will fix your issues.