They are not really missing. It is just not that user friendly
You have to rename the directory packed in the Horde3D_SDK to Horde3D and extract the Extensions parallel to this folder. It is described in the readme.txt in the
extensions package but not explicitly mentioned that it has to be named Horde3D instead of the default Horde3D SDK [1.0.0] Beta1 folder.
I have changed the default directory in the archive now to Horde3D so it is more convenient to install both packages side-by-side.
If you have read the readme.txt and still have problems don't hesitate to ask me again.