Some of the GPIO pins on the Uno have particular uses, such as A4 and A5 being SDA and SCL respectively and pins 10, 11, 12 and 13 being SS, MOSI, MISO and SCK.
On the Mega SDA, is pin 20 and SCL is pin 21. Similarly SS, MOSI, MISO and SCK are on pins 50 to 53
If the shield uses these pins then it will not be interchangeable between a Uno and a Mega unless you use jumper wires for connections rather than plugging it in to the Mega