I've added an issue for this in Github (https://github.com/burnbright/silverstripe-shop/issues/355). MCK & Dorsai - would you mind having a look at that issue and adding any other information you've discovered? One of our goals for SS Shop over the next 6-12 months is to improve that initial experience of starting a new site and learning the module.
I'd also love to hear any other feedback about how it went in your case and what could have made it easier or less painful here, or via email (mark at adaircreative.com) or at https://gitter.im/burnbright/silverstripe-shop. Thanks!