In order to show the menu in the sidebar (like the demo), first create a menu from the Menus page…..then use the “Custom Menu” widget and place it inside of your “Header Right” widget area.
The Agile theme is setup differently than other themes, all of the content that you see in the sidebar is setup using widgets. The Header Right widget, and the Primary Sidebar widget are what we use in the demo. – http://demo.appfinite.com/agile/