Select TMainMenu from the component bar and place a component on your form by clicking on the TMainMenu component, then click on the form but do not let go of the mouse button, and while holding the mouse button down, draw a box and let go of the button. The component will appear on your form.
It shows on my Mageia Linux 5.Under Ubuntu with Unity, if you application running on full screen, menu is appreared on top of the screen.