This is a bit of a stale response but I thought I would chime in.
The newer starter maps have the sconce lights and hanging lights already made from blueprints and so there is no light in the scene to select even though you can see them lighting the room. I remember running into this and at first its a bit bewildering. Zaks scene in the demo is made with the light sconce and the point light as separate objects.
If you skip forward a couple of tutorials then he actually makes a whole light blueprint from scratch and you can follow that one along.