Yes you need to finish the SQI arena to find the NPC that slots your sleipnir.
Regarding Megs, the descriptions means this:
If monk class, wearing the first meg gives +30 STR and -25% asura strike damage; wearing the second meg gives +30 STR and -25% asura strike damage. (Total STR you gain from two megs = 60 STR and asura strike damage is -50%)
If assassin class, wearing the first meg gives +15 STR wearing the second meg gives +15 STR. (Total STR you gain from two megs = 30 STR)
If other class, wearing the first meg gives +45 STR; wearing the second meg gives +15 STR (Total STR you gain from two megs = 60 STR)