I just setup a Linux box and install the last CodeLite stable. Code completion worked, but requires to manually do a Workspace parse every time new headers are included. It doesn't auto complete include directives and header names, too. But basically it works.
Sorry for my long rant about code completion on Windows. Switched to Linux solved all of the hassles. Up to this time I still have no idea why code completion was not work for my CodeLite on Windows.