Sorry for the confusion, X Theme has 2 types of demos, the Standard Demo which only import the customizer settings and the homepage template with place-holder images to it for you to change (no slider included). The Expanded Demo on the other hand will import everything including its sliders (if you install Revolution Slider prior to importing). unfortunately, the Integrity 1 Demo belongs to the former.
We can not provide you the actual slider of Integrity 1 demo, but we can guide you how to make one.
First, download a free Revolution Slider template that you like here, the template named Fantasy Posters is the closest to the Integrity 1 slider if that's what you want. Or you can also create your own slider from scratch (Revolution slider Docs).
How To Export / Import Your Slider Revolution Sliders
Edit the slider template and change its content (images, text, etc.) that fits on your site.
Set all your Slides Main Background to Transparent so we can see through it the background video later.
Also for the same reason, please set the Slider Background color to transparent.
Now open/edit your page in Cornerstone / Content Builder, open Settings > Page Settings and look for Slider Settings: Above Masthead and Slider Settings: Below Masthead options.
Assign the Slider that you just created on Slider Settings: Above Masthead option, and input your background video direct URL (ends with .webm or .mp4 or .ogv) on the Optional Background Video field.
(It would be best if you have 3 video format (.webm and .mp4 and .ogv) separate with vertical bar
| so almost if not all browser will support/play your video.)
Next option to that is the Video Poster Image that is a background-image to substitute the video on mobile.
Next option is the Enable Scroll Bottom Anchor, that is the white circle with down arrow that you see on the bottom center of the Integrity 1 slider. It's up to you if you want to enable or disable that.
More info about Feature Slider Settings
Regarding, your screenshot
The #1, #3, and #4 will be done on the Revolution Slider, refer to my reply above and the revolution slider provided.
For the #2 you need to do that with Content Dock extension.
I would advise though that you choose and install Expanded Demo if you need a ready-made demo site.
Let us know if you have further questions.
Hope it helps,