You can import YITH Proteo sample content also using One Click Demo Import plugin.
This plugins is available for free on wordpress.org at this link.
Once you install the plugin you can go to:
Dashboard > Appearance > Import Demo Data
Then choose your demo content to import.
Before you begin, make sure all the required plugins are activated.
You can dowload the 3 necessary files for each of the skin here:
CLASSIC SHOP skin
If download link opens a browser tab, right click and save the opened file.