The Qt example is different because it uses Qt. You always need to start by creating the Makefile itself from the .pro file. Witness:
edd@max:~/git/rinside/inst/examples/qt$ ls -l ## no Makefile
total 28
drwxrwxr-x 2 edd edd 4096 Dec 27 18:38 cmake
-rw-rw-r-- 1 edd edd 518 Dec 27 18:38 main.cpp
-rw-rw-r-- 1 edd edd 5953 Dec 27 18:38 qtdensity.cpp
-rw-rw-r-- 1 edd edd 1532 Dec 27 18:38 qtdensity.h
-rw-rw-r-- 1 edd edd 2378 Feb 11 20:14 qtdensity.pro
-rw-rw-r-- 1 edd edd 887 Dec 27 18:38 README
edd@max:~/git/rinside/inst/examples/qt$ qmake ## creates Makefile
edd@max:~/git/rinside/inst/examples/qt$ make
g++ -c -m64 -pipe -I/usr/share/R/include [... lots and lots omitted ...]
g++ -m64 -Wl,-O1 -o qtdensity qtdensity.o main.o moc_qtdensity.o [....]
edd@max:~/git/rinside/inst/examples/qt$ ls -l qtdensity
-rwxrwxr-x 1 edd edd 76666 Feb 14 15:02 qtdensity
edd@max:~/git/rinside/inst/examples/qt$
This is of course also described in the README in this directory...