Harvey yeah def a bug there in the preview which is just a simple flexbox issue (literally just like one click to fix). But I can see how figma or site builder might be setting up the wrong expectation if you were comparing them side by side...the mega menu piece is actually under the "Link four" menu. Not the whole main menu.
When I paste this component into webflow things seem to work as I would expect them to.
Let me know if I'm missing something - more than happy to be wrong. Regardless though I'll flag this preview bug for sure - thanks for raising!