That is correct, the skins on the demo site are not configured for it. To enable it you would need to edit the layout.master file and on the <portal:StylesheetCombiner add the property EnableNonClickablePageLinks="true"
This attribute is what adds the needed javascript to make a menu item unclickable.
and in theme.skin you would need to configure an attribute to make it render the custom menu class on the link:
<portal:mojoTreeView runat="server" SkinID="SiteMenu"
ContainerCssClass=""
RootUlCssClass="art-hmenu"
RenderLiCssClasses="true"
RenderAnchorCss="true"
RenderCustomClassOnAnchor="true"
LiCssClass=""
LiRootExpandableCssClass=""
LiRootNonExpandableCssClass=""
LiNonRootExpnadableCssClass=""
LiSelectedCssClass="active"
LiChildSelectedCssClass="active"
LiParentSelectedCssClass=""
AnchorCssClass=""
AnchorSelectedCssClass="active"
ExpandDepth="-1"
ShowExpandCollapse="false"
PopulateNodesFromClient="false"
SuppressCornerDivs="true"
MaxDataBindDepth="-1"
/>
Hope that helps,
Joe