And if I install the Ethernet shield I can't install the screw terminal shield.
I bet you can, but you will have to be more forthcoming about exactly what "the DIN screw terminal shield" is. It sounds like something invented by an idiot in Germany who doesn't know what he is doing but uses the government to force his views on you. Even so, and IF the ethernet shield is the normal one that everybody uses, I suspect the worst that can happen is that you need to get some long headers to go into the Mega pins that the standard ethernet shield doesn't use, thereby presenting the full set of pins for the terminal shield.
You may even find that those bare headers may be better employed grouped into a small shield, and a few pins used for some other device.
An alternative might be to talk to Crossroads, who actually does know what he is doing, and might well have a screw terminal shield for Mega that supports the standard ethernet shield on top.