Hi There,
Please add the following CSS under Customizer > Custom > Global CSS:
.x-navbar .desktop .x-nav > li > a:hover > span,
.x-navbar .desktop .x-nav > li.x-active > a > span,
.x-navbar .desktop .x-nav > li.current-menu-item > a > span {
box-shadow: none;
}
Hope it helps 🙂