I moved your post since it was a new set of questions and this better exposes the answer for others.
When I click on the green plus to create a page that new page is created as a sub page underneath the link that has the green plus sign. 
Yes, that is how Site Sculptor's/PowerCMS 2's template feature works. You are creating a subpage of the page that you defined as a content management template.
Should the newly created page be a part of the menu structure?
No. In this version of Site Sculptor the navigation is not dynamically updated based on any template pages. This might be added in a future version.
Using the same tree example above - any way to add an Event 4 using the CMS?or can you only add sub pages?
In Site Sculptor you could set the Home page as a content management template, and create pages based off of that.
I see that you can delete sub pages you add but not the main pages in the site menu structure. Will that ever be changed?
This feature is available in PowerCMS 2 but not in Site Sculptor. One of the reasons for this is that Site Sculptor's CMS is more end-user focused, and providing Add/Delete functionality like this would require a user to have a greater understanding of editing code. Especially since any deleted page would still be linked to in the navigation, and the file itself would still exist.
You can purchase a license of PowerCMS 2 and upgrade Site Sculptor's CMS if you want this functionality.
