ok the file was missing, looks like i had to grab Cayenne-MQTT-ESP8266-Master library, not just CayenneMQTT library.
https://github.com/myDevicesIoT/Cayenne-MQTT-ESP8266/archive/master.zip
then I ran the test code above (Cannot connect to cayenne with my NodeMCU ESP-12E board! - #6 by lagunacomputer ) and things it compiled and started working