Did you unzip it first? I see a lot of people complaining of quirks using the zip files.
I personally download, unzip to import folder, then open the imported show folder using change temporarily and open the sequence, render watch and save. That way I know it all works, and stuff isn't missing or broken.
Then start a new sequence, add the audio and import from the saves xsq file you just checked and rendered in imported folder.
It's a "slower" process but it works and cross checks the sequence.
