When WordPress used Widgets each widget had a Title field, and this is what you’re seeing in the demo. On a new Install of WordPress, however, Widgets will be largely replaced with Blocks, and Blocks do not have titles. In block-based themes you would be expected to add a separate Heading block. Older themes, such as Twenty Sixteen, support placing Blocks where you could previously place Widgets.
On these themes, if you want to use their Widget title styles, you can insert the Widget Group block. This inserts a generic Widget that can have a title and a block as its content. If you add a Widget Group with an Archive or Categories block you should be able to replicate what you see in the demo.
Alternatively, and I wouldn’t recommend this for new sites, you could install the Classic Widgets plugin, which will restore the classic widgets interface and the Widgets themselves, with their title fields. This won’t do anything for newer block-based themes, but it will work well for older themes that were built to support Widgets.