I just found this thread; apparently I'm not the first to run into this.
It really seems like the docs should be updated to note that they won't actually work unless (apparently) you have set up external USB storage.
I don't understand how I could set up USB storage — my Omega2 board does not even have a USB port (apart from the micro-USB on the breadboard dock which I'm using to power it). And moreover, if the Omega needs an external board providing a USB interface, plus a USB drive, just to run Python light and (in my case) the MQTT module, then it's no longer the tiny, simple solution I thought it was — I may as well run an Raspberry Pi, which at least has an SD slot built in.
Feeling discouraged, but hoping there's some good solution I have missed.