If you only perform the configuration step, test content is not yet downloaded and precached. Precaching is not performed automatically, but something you must perform manually.
Perform this task after you create all test sessions, but before the first test session has been started. This will ensure that you cache all of the content needed. This feature requires the use of a Java applet, so the computer from which you perform the action must have Java installed and you must allow the Java applet to run in your browser in order for this to work.
To refresh cached content, use the instructions in Manage Cached Content for Online Test Sessions.