Is there a risk for megatsunamis (they occur when a very large amount of material (like ice) suddenly falls into water) due to the melting of ice on Greenland and Antarctica? I immediately think about the large volcanic area of West-Antarctica.

And is there a good chance La Palma will cause a megatsunami?

If and when the Antarctic Ross ice sheet "slips" into the ocean the tides will rise a few to several meters world wide.  The tide will not recede.  It probably would take a couple to three days world wide.  If La Palma happens full tilt, (or drop) then the potential is for a very large tsunami occurring.  A Megatsunami?  Not likely put possible. Lots of discussion on both.

The ice would have to fall off solid ground to have any kind of global impact.  Ice calving off a floating ice sheet only causes local effects as the mass of the ice is already accounted for by the ocean.