The main navigation has some nuances to be considered. Following are the steps required to setup the theme as showcased in the Demo website
Each menu item can be assigned any of the 500+ icons from the Font Awesome library icons list.
Click on "Screen options" link on the top right part of the screen and make sure
the "Description" checkbox is selected (Screenshot 9):
Screenshot 9: Screen options
Screenshot 10: Menu icons set in description field