You can edit each menu item in your mega menu. The Category Menu Items have a setting called "Template". If you set it to "With Pictures" or "List" the categories will appear in the side menu, if you set it to "Simple" the categories will appear on the top menu ( and will not have a dropdown).
You can read more about the Mega Menu administration in the Mega Menu Documentation
Your side menu will cease to work if you have no items in it. If you do not have Category Menu Items with the Template of "With Pictures" or "List" you will not have any items in the side menu.
I cannot seem to understand your problem, it seems. Can you give me some visual representation, maybe a link to your store or a picture?