Specifically I have a 8 channel relay module, I connect 8 LED's to it with a common external power supply, I connect it to Mega and ... wow it works (thanks KOzO001) . I now connect a Mega Sensor Shield to the Mega with the 8 channel relay with ext. power and... It doesn't work! Note: Sketch's used, size and type of power is irrelevant to this, It worked as wired, only modification is adding the shield now it doesn't.
This is one of the reasons why I tend to use protoboards instead of shields.
You seem to be spoiling for a fight.
This is the E=IR stuff. This means using a LED and current limiting resistor and power source with no microcontroller! Did you know that you need to take the source voltage and subtract the voltage-drop of the LED before calculating the value of the series resistor? You must know this as it is fundamental.
As for a BASIC (emphasis) beginners section on the forum, I guess General Electronics is not the section for questions specific to Arduino Hardware, responders just don't consider it a "general electronics" item.