You don't need to add the .cs files from the demo-pages code. Codebehind files are not physically present, that's true, because they are compiled into MonoX dll. Your custom project will be fully functional without them, the only hinderance will be the underlined lines.
If you want to change the functionality of one of the pages, you will need to add your own codebehind file that inherits the MonoX page.
For example your custom login page code could look like this:
Login : MonoSoftware.MonoX.Pages.Login
Then modify the "Inherits" line in the markup to your namespace -> Inherits="MyCustomProject.Web.Login"
Finally right click the markup and choose "Convert to Web Application" for designer file to be created.
The demo-pages and some other parts are open-sourced so that people can have an insight in what the compiled code does.
Hope that helps,