To create menu go to Apperiance >> Menus. Name your menu and add items to menu. From theme locations asign your created menu to Header Menu location.
Header menu has additional options, that extend default wordpress menu. Here you can have megamenu with columns, set background image for submenu, also highlighted menu labels.
Megamenu can be applied only to top level and only to Header location. To have megamenu set the option to true and choose megamenu columns. Also, you want to have background image for megamenu just upload the image with button.
If you need to give labels as highlight of menu items (submenu only) just enter the label text and give a background color of label and you will get colerfull labels for your submenu items.
If you want to add icons to menu items, just enable css classes from screen options, found in top right corner of menu admin page, and add icon name to css classes field. Icon names you can find in icomoon folder , that comes with help folder (check your download pack).
For menu you can control typography, fonts, colors, hover effects, padding and margin of menu items, submenu effects, styling. We are not going to cover all settings one by one, because they are descriptive by themselves. All header menu options you can find in Apperiance >> Theme Settings >> Header.
For one-page bullets menu please see this topic