Every sensible design with a linear voltage regulator has a diode wired from the output to the input, if this is not the case on the 'Duino Mega, one should add a 1n4148 and there is no problems.
Usually you only run into the problem if you have a large cap at the secondary of the Vreg (1000 uF or more) or some kind of H-bridge with a motor attached that acts like a generator if it's running and the power is cut. There is very little possibility of destroying the Vreg from "Normal" use of an Ardunio.
I power my Uno's and Mega's from the 5V connection all the time, never had a problem. There are literaly thousands of 3D printers out there with their Mega powered from the 5V pin, never a problem.
// Per.