Hi @js13.
That is correct. The product suggested by @GoForSmoke doesn't have a provision to pass through the ICSP header on the board to a shield that is plugged on top of those screw terminal adapters.
Great thinking! A 2x3 long pin female header will work well to connect the ICSP header from the board to the top header.
Alternatively, you can purchase a shield that does pass through the ICSP header. I see one here:
This shield has the UNO form factor. It is compatible with the Mega board in addition to the Uno board, so it will be well suited if you need to use it with both boards. However, it doesn't provide screw terminals for the additional pins specific to the Mega boards, so if you need screw terminals for all the pins of the Mega board then that specific shield won't be suitable.
As for a shield that does provide screw terminals for all the Mega board's pins, I know that one is for sale on the website of our departed forum member @CrossRoads:
The last I heard, these products are still available for purchase, so if you are interested in that product then you can send an email to the address provided on the Cross Roads Electronics website to inquire about ordering one.
The terminal adapter suggested by @GoForSmoke and the Cross Roads Electronics shields won't draw any current at all. They simply make an electrical connection between the female headers on the board and the screw terminal.
The Adafruit shield does draw some current because it has two LEDs. I would guess it will be less than 10 mA. If you don't want that, you can simply skip populating the LEDs when assembling the shield. They are purely optional convenience features of the shield and it will work just as well without the LEDs.