Xbee S2 and arduino mega

This tendency of yours to volunteer information needs some control. You are underwhelming us with data.

There are typically LEDs on XBee shields. Does yours have these LEDs? Do the one on the sender do anything when the sender tries to send data? Do the ones on the receiver ever do anything?

Just as a matter of idle curiosity, why are you using mesh networks modules to do point to point communication? Why are you not using the easier to use point to point (Series 1) models?