Hello,
Wifi shield has RX pin capability only on D0 to D7 but not all pins on the Mega and Mega 2560 support change interrupts, so only the following can be used for RX: 10, 11, 12, 13, 14, 15, 50, 51, 52, 53, A8 (62), A9 (63), A10 (64), A11 (65), A12 (66), A13 (67), A14 (68), A15 (69).
This mismatch causes the problem in your connection.
Thanks and Regards