Hi,
Thanks for writing in!
To remove it, you can add this under Custom > Edit Global CSS in the Customizer.
.x-navbar .desktop .x-nav > li > a:hover,
.x-navbar .desktop .x-nav > .x-active > a,
.x-navbar .desktop .x-nav > .current-menu-item > a {
box-shadow: none;
}
Hope that helps.