Please make sure that you are using the X theme. The Pro theme does not have the Demo Content feature.
If you are using X I suggest that you make sure that you are using the version 6.0.4 of the X theme, if not please back up your website first and update to that version. Then make sure that you validated the X theme and follow the steps below to import the demo content:
Be aware that you will lose all your settings if you import demo content, so if you have already a working website it is not a good idea to import demo content.