Hi again.
That is normal behavior.
I have just tried to reproduce your issues by downloading a fresh copy of the demo package, unzipping it and doubleclicking the .uproject file to start it. It was generating project files for a few seconds, then asking me to rebuild UE4Editor-PhotonDemoParticle.dll. Rebuilding with the latest engine version (4.8) then took about 3 minutes and was successful.
Sorry, that is just an error in the documentation. That demo supports UE 4.5 and above and has been verified to be working with UE 4.5, 4.6, 4.7 and 4.8.