My goal is to have an idea of the structure of a serial data my Arduino Mega is receiving. And since the first serial port is being used by Arduino it appeared I cannot monitor the content of the port (right?).
What is the Arduino receiving serial data from?
TXO <--> RX (pin 0)
RXO <--> TX (pin 1)
Why? These are the pins that the USB cable connects to. If your Mega is receiving serial data via that cable, your FTDI cable should be connected to another set of TXn and RXn pins.