Have you looked at the sources or docs at all?
This is not a replacement for Game.cs or something intrusive like that. It's a collection of utility classes, some are game components, some are smaller than that.
Some examples of game components are: the InputManager (input mocking, event based input, DirectInput support), GameStateManager and GuiManager. And there's a ton of smaller utility classes for things like rectangle packing, vertex declaration management,
primitive batching, 3D text rendering and so on.
I'm sorry but I seemed to ask something which was misunderstood.
I had a look on the demos, but now im really confused.
In your Nuclex.UserInterface.Demo you have the class Demo Dialog, which seemes to be some sort of component.
But which component designer gives a DemoDialog.cs file (which is shown as a normal class) with a DemoDialogDesigner.cs as a dropdown action?
This is the only thing, which i do not really understand.
P.S.: sorry for my bad english :)