EDIT: Nevermind I fixed the issue. Turns out each plugin has theme files for each theme. We were previously using a different one then changed to native but didn't install the theme files for each plugin.

Using Nop 3.9 and the native theme if I create a mega menu and set it's widget zone theme_header_menu nothing shows up and neither does the default menu either. I assume the default menu is supposed to hide and the new mega menu in it's place. If I change the widget zone to content_before the mega menu shows up but now it's not where i want it to be which is in place of where the default location.