This is caused by settings not being set in Select Options > Header. The Header Skin option must be set for it to know which header to initially load. For the demo content or darker homepage sliders, set it to Dark. You may override this on individual pages.
Under Logo, each logo must be set.
Logo Image - Default
Upload a logo no taller than 100px to be used as the default
Logo Image - Dark
Upload a logo no taller than 100px that shows up well against light backgrounds (with darker text)
Logo Image - Light
Upload a logo no taller than 100px that shows up well against dark backgrounds (with lighter text)
Logo Image - Sticky
Upload a logo no taller than 100px to be used when the page is scrolled. This is often the same as your default, but can be smaller to get a header-shrink effect.
Logo Image - Mobile
Upload a logo no taller than 70px to be used on the mobile header for handheld devices.