Cannot create main menu

After I imported the demo content file: “aegaeus_export.xml”, I wanted all the pages to show up in the main menu just like on the theme demo, but this did not work – I went to Appearances > Menu and checked the box for the main menu theme location under “Menu Settings”, but I keep getting the same message: PLEASE ATTACH A MENU TO THIS MENU LOCATION IN APPEARANCE > MENU in place of where the main menu should be.

Thanks,
dylanroth666