While most pins are the same as an Arduino, the I2C pins have moved (from 4-5 to 20-21). Any Arduino shield, or project, using I2C will require re-work for the MEGA.
There are some other changes that are more subtle.
All of which makes me wonder why the bullet just wasn't bitten (lol) and the shield gap fixed--instead of leaving people thinking shields would be compatible out of the box.
Bah, fixing SPI and TWI shields is a software problem; you just have to exchange SW protocol support for HW protocol support.