This document may have been updated since your installation. You can find the latest version at http://docs.kde.org/current/kdesdk/.
KCachegrind looks cool. But I don't understand it. What is it useful for?
KCachegrind is a helpful at a later stage in software development, called Profiling. If you don't develop applications, you don't need KCachegrind.
I get compile errors, what could be the problem?
Often, your Qt™installation hasn't KDE support.