If you something like that while you're installing the demo content :

Keep focus on the "All done. Have fun", because everything is fine ;)

Why this is happening : The demo has many plugins that you don't need by default (BBpress, Woocommerce shop...), and the users (demo 1, demo 2...) don't exist on your setup. So Wordpress can't import those data but this is not a problem.

Just keep going on your install and don't focus on this message because the demo content has been imported ;)