There is only a single menu location used for the main menu and mobile menu. You can edit it in Appearance > Menus:

Mega Menu

To build dropdown with columns (mega menu), follow the instructions:

  1. Navigate to Appearance → Menus and add own menu or edit existing
  2. Select menu item on the 1st level (for example, Features), and select the Mega Menu checkbox as shown below:
  1. Save menu and check the result
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