Hello,
did you create your app on your in your local WP installation or did you create it with create-react-app manually in the console? The latter doesn’t work unfortunately.
Just to be clear, you have to create your react app from the WP admin.
Did you open your developer tools and see any error messages? Are there any js-files linked in the source code of your page. Similar to /wp-content/plugins/reactpress/apps/[appname]/build/static/js/runtime-main.63c6e12a.js?ver=1
?