just trying to understand where the difficulty would lie
At its base, the idea of PageRank (or any kind of link equity metric) measures how "important" each page is relative to other pages. By linking everything to everything, the site is blurring an important signal about the relative hierarchy of its pages.
And secondarily, when it comes to query relevance, hover menus are placing keywords for every page on every other page - and they are often in anchor text which does figure as an on-page factor as well as a target-page factor.
As I said, Google and other engines are coping with this challenge to a degree these days.
One moment of truth came for me when I tracked which menu links were actually being used by site visitors. That analysis showed me that all those hover menu options were NOT being used by visitors. Only a small subset mattered, and there were other ways to help people find those pages.
I appreciate that my point-of-view kind of upsets the apple cart for many people. A Pubcon session where I presented my findings was called "controversial" by one blogger.
But it is not merely an opinion, it is based on data analysis of real sites. The OP asks "can a mega drop down menu create problems." I'm answering with very real problems I've seen that stemmed from using a large drop down menu system.