Communicating Via Serial1 on Arduino Mega
If you take a look at the headers on the Mega, you'll notice that one of them has labels of "RX1" and "TX1" through "RX3" and "TX3". You'll also notice that the XBee shield does not connect to that header, therefore you cannot use Serial1 through Serial3 with the shield. Either switch to a breakout board that you can connect manually or stick to software serial.