Arduino Xbee AT command mode I have 2 Xbee Series 2 modules. 
One of it is connected to arduino via an adapter. And Ground 5V, as well as Rx>>Tx and Tx>>Rx. 

The xbee is configured AT mode Coordinator.

I want to use the serial monitor in arduino to change the parameters of the xbee, such as DH or DL or PAN ID things like this.

Is there a way for the xbee to display its "OK" response after entering command mode on the serial monitor?
Because you have an Arduino Mega, you can set it up to use it like a USB-to-UART adapter by using the following code (source):

void setup() {
  // initialize both serial ports:
  Serial.begin(9600);
  Serial1.begin(9600);
}

void loop() {
  // read from port 1, send to port 0:
  if (Serial1.available()) {
    int inByte = Serial1.read();
    Serial.write(inByte); 
  }

  // read from port 0, send to port 1:
  if (Serial.available()) {
    int inByte = Serial.read();
    Serial1.write(inByte); 
  }
}


Basically what this does is it takes the data it receives from the USB port via Serial and transmits it to Serial1 and then also reads from the UART port via Serial1 and transmits it back to the computer via Serial. With this code running you should be able to hook up the XBee to RX1 and TX1 and communicate to it using the Serial Monitor.