The first shield is meant to have your Arduino control loads.
It is a set of switches which are controlled by your Arduino.
It has an Uno form factor, meaning you cant use it to simply stack other shields on it that were designed for your Mega.
The motor shield is meant to control motors or other (inductive) loads.
Also Uno form factor.
Those are not power supplies.
The power shield is a power supply.
You cannot control it using your Arduino, you have to set it using a potentiometer.
It has a LED bar that will show you you're supplying 3.3, 5, 9 or 12 volts.
This means the LEDs cannot tell you are supplying 6 volts or 10 volts (so values in between).
It has a connection to A0, meaning you can read out the set voltage if you set the jumper (so leaving it open removes this option and frees up A0).
Maximum output current is rated 2 A continuous.
And this one too has an Uno form factor.
You can use this as a power supply to your peripherals, i wouldn't use it to power the Arduino itself.
Also, i would never use those LEDs as read out, i'd use a multimeter.
By the way, did you check for any wiring mistakes, and also have someone else check that (most people tend to not see their own mistakes).