Normal ROSDK for Delphi installation makes binary compiled folders like Dcu\D26\Win32 etc.
Additionally in the Tools\Options\Library Delphi setting there are Your Source Folders added.
When You make Your new project, due to pats added to library section dcu files are compiled again so files from Dcu\D26\Win32 are not used durring compilation process.
If You delete paths from Library section (and move to browsing section) there is inc files lack (because they are at …\Source\ path).
In my opinion installation process should be changed. Paths to sources should be added to Browsing options section not to Library and inc files should be added to Dcu\D…\Win… folders.
Or it should be option to select (Library/Browsing) durring installation process.