Yes, you have to install WooCommerce if you need the sample data of WooCommerce. Otherwise, pls ignore these messages and you import everything else you need. You can always import the WooCommerce sample data later too by pointing to sample xml file located in WooCommerce plugin folder.
Import can take some time depending on the connection speed, server performance etc.
Yes, the documentation has been updated in the latest update. Pls ignore the versioning part (2.0 applies to theme only and not documentation – you should see 2.0 version in the themes page). We just start with a help documentation template and that template was created on that date even though theme was released later.
Pls check this video in case of trouble with the setup –