did you actually do "Go" > ~/Library > application support > cod4 ? If you just went Cod4 folder without doing the following steps, the demos folder is practically hidden. It took me almost a year to figure that out. But if its not there, try this step.
Open finder > Applications > Right click Call of Duty 4 and click on "Show Package contents" > Contents > Call of Duty 4 Data > Mods > ModWarfare > demos.
If it's not there, you might as well reinstall cod4 for mac. Apple released a statement a few months ago that Cod4 that was bought on App Store was missing some files like the iw3mp files.
actually, when you said that you only see folders called "mods, players, usermaps, etc", open the players folder> profiles > your profile name folder. It might be there.