Why do you want to use Software Serial on the Mega if you have 3 additional serial ports available? Use Serial1, Serial2 or Serial3 and connect the Nexion to the associated pins on the Mega.
That might make the problem go away.
PS
You get the error because both SoftwareSerial and PinChangeInt are using the same interrupts; if needed, you can disable the conflicting ISRs from the PinChangeInt library or just simply don't use the library and do it yourself (see Simple Pin Change Interrupt on all pins).