If anyone gets this issue and wants to confirm if the regulator is working, you can put a multimeter between the DC IN pin (on the jumper header that selects between USB / DC IN power) and Ground to see if there is any voltage coming out of the regulator.
No voltage on those pins.
The DC jack on the board is protected from reverse polarity by a 1N4004 diode, but the VIN pin is NOT. If you put a negative voltage on the VIN pin (between Ground and Analog 0 on the shield header), you may fry the regulator.
So 8 Volts should be more than enough head room. I'm 2Amp power supply which drops the voltage from 12 volts. The 240V AC to 12V DC is a switch mode device.
The 1N4004 diode will drop somewhere between 0.8 and 1.1 Volts. The regulator (EUP3476) seems to need at least a 0.8 Volt difference between input and output (at least, the way I'm reading the spec sheet) so you probably need a supply a minimum of 1.9 Volts higher than what is needed out (5 Volts in this case, so 6.9 Volts in) if you use the DC Jack. Note that while a DC plugpack may say it supplies a specific voltage, that may be only under ideal conditions (eg: exactly 240V supply, no load, etc), so you may want to check your actual input voltage under load (eg: across the DC Jack pins while plugged into the EtherMega) if you have issues.