By default you don't have to setup your blog page in WordPress since your homepage is your blog page. However, if you want to setup a custom homepage (like in theme demo) you'll need to assign your blog manually to another page.
For this go to
Pages -> Add New and create a new page with any appropriate title e.g. Blog, News etc.
Now go to
Settings -> Reading page in your admin panel and select the page you have just created as your "Posts Page".
Now, if you visit this page you can see that your blog is now assigned to this page and you can see all your posts on this page.