The Infragistics license allows distribution of their library with your application so that your application will work on other systems where the library has not been purchased. Thus, those libraries are shipped with the PMU Connection Tester project and that is why you are able to run the application without any issues after downloading. However, there is some code that validates whether you have installed the Infragistics toolkit when you attempt to use their libraries in the Visual Studio designer. If you download the latest source code and open the PMUConnectionTester.vb file in the designer, you should see that the error you have reported has instead been replaced by 81 errors, each with a stack trace similar to the following.
at Infragistics.Shared.UltraLicenseProvider.GetDesignTimeLicense(Type type, Object instance, Boolean allowExceptions, UltraLicenseBaseAttribute licenseAttribute)
at Infragistics.Shared.UltraLicenseProvider.GetLicense(LicenseContext context, Type type, Object instance, Boolean allowExceptions)
at System.ComponentModel.LicenseManager.ValidateInternalRecursive(LicenseContext context, Type type, Object instance, Boolean allowExceptions, License& license, String& licenseKey)
at System.ComponentModel.LicenseManager.Validate(Type type, Object instance)
at Infragistics.Win.Misc.Utilities.ValidateLicense(Type type, Object instance)
I believe the toolkit you would need is the Windows Forms toolkit, and it is rather prohibitively priced at $899 for one year.
As for PMUConnectionTester.Designer.vb, you may need to click the "Show All Files" button in the Solution Explorer in order to see the file. Though, from the looks of your earlier screenshot, this may not be necessary.
You should be able to expand the PMUConnectionTester.vb file to find the PMUConnectionTester.Designer.vb file underneath.