As they promised, NCBI has removed gi numbers from the nr database, in particular from the file nr.gz that one can download from there. Also, there do not seem to be any gb| or ref| tags in the header lines.
MEGAN requires gb| or ref| tags to find accessions, and this does not work with the latest download from NCBI.
I am working on this and will soon release an update of MEGAN that is able to work with the latest NR.