They appear to be implying that the screens want +12V to power them (I would have expected 5v, but if they are for a car then 12V does make sense) as long as you verify that is correct, because connecting 12 V to something that wants 5 is likely to blow it up), then you just connect the wires together such as 3 red wires to the positive 12V terminal and 3 black wires to the negative 12V terminal then one red/black pair provides power to each device. The one for the mega will actually need a 2.5mm coax power jack (as the wall warts have) on it I expect, the screens may have wires. As long as the 12V source can supply enough current connecting things in parallel to it is fine (but usually only for power, signal lines are not the same). The most useful part of this is the confirmation that the video signal is coming from an hdmi/vga connection from the Mac (not from the Arduino). The screens and the Arduino are being powered by the wall wart (12V power supply in the drawing) rather than the Arduino powering anything. If you disconnect the Arduino completely the screens and video (assuming the Mac is hooked up) will still work fine.
Peter