I think your connections are like attached scheme from http://arduino.cc/en/uploads/Main/arduino-mega2560-schematic.pdf (Am I right ?).In this case, I think you are producing short circuit (USBVCC connected to your external 5V power supply).The solution would be to disconnect USBVCC from T2, but this is intrusive. Is there another solution ? I don't know.May anyone can confirm ?
Why on earth didn't they make these with a jumper (or 0-ohm resister) so you can use a normal USB cable and not be afraid you are going to fry something by connecting your PC's +5 to that of your 5V-Wall-Wort external supply? Keep in mind that the Arduino was designed to have two power sources to power the board, either USB or external 7.5 to 12vdc via the external power connector. The shield 5V pin was designed to provide output voltage to power external components up to the current limit the board can provide. The fact that one can 'backfeed' a regulated +5vdc is not something Arduino claims in their product description and in fact as you stated if wasn't designed in the best matter if that had been their intention. I was hoping to find that there was built in circuitry to disconnect USB5V if externally powered, but if it is like that, most people on here don't know about it. ...and if it is not, then you are risking your PC's USB port more then anything else (which is super scary).