I don't have any personal experience with either board. But I would think that everything you are questioning (USB, Mega 2560, router features) would be the same between any of them. They both use the same processor/radio, have the same amount of memory, and both run OpenWRT.
I would think that the Dragino HE or the Carambola-2 would be pretty much interchangeable. The biggest difference I see between them is their size/shape, and they have different types of antenna connectors. The difference between the Dragino HE and Dragino Yun Shield is even less - they are functionally identical, the only difference being that one is a bare module, and the other is the same module already mounted on a shield. Minor differences aside, I guess it comes down to price, availability, and support -- I don't have any experience with those aspects.
A final distinguishing feature, and potentially the most significant, is the software. In the case of the Arduino Yun, Arduino has put in a lot of effort to add the Bridge library that makes it easy to talk between the AR3391 and the Arduino sketch. They have also made some significant customizations to the Linux side to improve ease of use and configuration. Have the other vendors put in a similar amount of effort to provide a customized version of OpenWRT? Or do they just use a generic AR3391 build? (Or do they expect you to use Arduino's version and freeload on their software efforts?)