As of the current time Mega Beasts are very under powered when you think of what they should be. At the current time the don't even have trap avoid, and can be contained with flimsy wooden cages. A group of badly trained dwarves with some decent equipment can easily take down a Mega Beast (aside from the Bronze Colossus). And if you have access to none of these there is always a cave in. Now while a Mega Beast can wreak havoc with a early fortress any well developed fortress can repel any of the four "Mega Beasts with ease, and given the requirements for a mega beast attack they will only ever show up to attack mature settlements.
Now imagine if Mega Beasts were turned into true civilisation destroying monsters, that appeared at your fortress and wreaked absolute havoc, a threat to even the most well defended fortress, on a level with HFS. Take for example The dragon, imagine if it's fiery breath could melt right through you constructions and buildings, turning them into steaming pools of magma. Their impossibly hard scales deflecting dozens of masterwork steel disks. And able to use its raw strength to break out of even the strongest of cages. Cave ins merely annoy it, tons of rock simply shattering over there iron hard flesh. It would take every resource you could possibly muster and a small army to take it down. At the moment dragons are slightly annoying lizards, i believe they should be more like smaug in the hobbit, destroying an entire human town because it was there before annihilating the most developed dwarven stronghold in the entire world.
Obviously this goes for the other three Mega Beasts as well, i reckon it would lead to lots more fun.