There are some additional stuff you need to download. Make sure you also got the stuff on the main page and not just the stuff in the download links. (I discovered this the hard way). This may very well be the stuff you are missing.
Also, in Content Manager ensure nothing is open for edit. If there is anything open, highlight, right-click and choose Revert to Original.
The warning is normal if something has a problem. The program won't cache an asset if there's problems with it in some fashion.
Welcome to Trainz and to the forums.