Oh, right it is definitely the thing i thought of...
I maybe wrote in not so good to understand english. I am not a native speaker, sorry about that.
So now I know that for use on Mega I have to do a wirings and that I cant use this shield as a shield (directly plugged on mega) but have to wire it to equivalent connection you mentioned.
Thanks for your very PROPER and SIMPLE explanation. This really helped for exact problem solution - had increased your Karma twice 