This might be old news to some, but an accumulating amount of tips (thanks everyone!!) claimed the Operation Darkness demo is not available to gamers in North America. I asked a few other people living in the US with Japanese Xbox Live accounts to check this out and the result is they cannot get access to it either!
I found this to be quite surprising because the Operation Darkness demo is pretty much localized in English, with the exception of voice acting. Also I managed to download the demo using my Japanese Xbox Live account in the USA without playing with a proxy server. However, I’m not able to download any region locked Xbox Classics. Perhaps, I got it early during while it was for Gold Xbox Live members only? This might be disappointing, but Atlus is probably working on their Operation Darkness demo, a demo with English voice acting.