Reply from PG Support:

I spoke with one of our developers about this and he explained that the program is looking for an audio file with the same name as the TGS file but with any audio extension ('.WAV','.WMA','.M4A','.MP3','.AIF','.AIFF','.MP4').

However, these demos have not been made yet which is why you are getting that error message. They are hoping to have these demos available to release with a future patch.