Hi,

Please check this video tutorial to know how to create a category mega menu.

Also, to create video icons display on category mega menu, you need to use video posts format. Please do following steps:

1/ Install plugin Vafpress Post Formats UI - If you didn't install this plugin, go to Appearance > Install Plugins > install & activate this plugin.

2/ Go to edit a post, on above the title - click to "Video" tab and fill data of video for that post.

If you do using new editor of Wordpress version 5 - check the post format data from right side.

Best Regards,

PenciDesign