The Velleman VMA202shield has no ICPS connectors for the Arduino Mega 2560 board.
In the Arduino forum https://forum.arduino.cc/index.php?topic=165170.0. similar situations are discussed but not for the Velleman VMA202. May be in this forum some one has found a solution.
Or, is the Adafruit Datalogging shield the only shield that fits?
I noticed on the Conrad websites that the VMA202 shield was okay for the Mega R3. The proposed procedure for this combination did not work. I expect Conrad will adjust the information.