Nowhere in your documentation it says I need to create a menu prior to importing. Instead it says:
1. Go to Dashboard > Appearance > Customize > General Settings > Miscellaneous Settings.
2. Then click on ‘Import Demo’ button.
3. The importing process will take some time so please keep patience.
4. Once done refresh the site for previewing the changes.
This is what I’ve followed and got the error. Anyway, I’ve had to reinstall the theme again and configure it from scratch, bypassing demo. Please make it work properly in your next update.