I also misunderstood that after I download any free theme that it will come with all the photos, icons, logos, fonts and other settings as it is shown in the theme demo. That's obviously not the case.
Many themes will cooperate with your quite reasonable expectation. The theme community is quite varied, from polished to sketchy, I suggest that you experiment with more themes. Also you should become proficient with using the child theme mechanism, it enables themes to be safely customized, details here:
creating a child theme http://codex.wordpress.org/Child_Themes
Yes, there are a lot of tutorials. My suggestion is that you stop looking for a "Teach me all about WordPress" tutorial, you won't find one. Instead go about developing sites, when you come up with a question like "I want to ...", then go looking for support (or plugins) and tutorials with that focus.
Also keep up with the support forums here, you will find questions by other people at your level, and feel free to contribute your expertise where you can.