Hello,
Add the below code to Theme Options > Custom CSS .template-container .et_b_header-menu:not(.header-secondary-menu) .item-design-mega-menu .nav-sublist-dropdown .container>ul>li:not(:last-child) {border: none;}
.template-container .et_b_header-menu:not(.header-secondary-menu) .item-design-mega-menu .nav-sublist-dropdown .container>ul>li:not(:last-child) {border: none;}
Regards