Thanks to community member "Stahler" for bringing this problem to my attention, the fatal error that occurs when loading the demo will no longer occur.
The problem was that I accidentally compiled the game and put it into an already compiled game's folder, so the .exe file was buried a little too deep.
For example Steam looks for the file here:
MetalHeadsAlphaDemo/WindowsNoEditor/MetalHeadsGame
but the actual exe is in
MetalHeadsAlphaDemo/WindowsNoEditor/WindowsNoEditor/MetalHeadsGame
And therefore the error occurred.
A simple fix however, but wanted to let you know it is sorted out, and to give Stahler a pat on the back for pointing this out to me :)