This issue most probably happens because you do not have proper permissions in your “uploads” folder so your server doesn’t allow to download and set images from our demo content automatically. You can ask your hosting provider to set this for you or learn more about setting file permissions here: http://codex.wordpress.org/Changing_File_Permissions
However, this is not a big deal since those images are just one same “placeholder” image and you would probably delete it afterwards anyway. If your automatic import fails, you can download image manually here and set it as featured image for each post/page: Download demo image placeholder.
Quick tip: You can use this plugin to add it as featured image to all of your posts at once:https://wordpress.org/plugins/quick-featured-images/