Tip: That link can be shortened to this: https://www.amazon.de/electronics-salon-Terminal-Adapter-Arduino-mega-2560-R3/dp/B01CU3OB5Y/
On the photo it seems good quality, but the Mega board is upside down.
You could check the connections with a multimeter.
Thanks to Whandall for noticing the Doppelpost / double post. Let's hope no one will answer there, or we get confused.