Ah, I think I wasn't clear in my original post.
I understand 'no' means a fresh playthrough. That starts chapter 1, but after chapter 1 it ends and the game goes back to the main menu.
So, either I installed the wrong version (between the 'locked' and 'unlocked' download options for the game) or there's a bug.
What is the difference between the two versions? Is 'locked' a demo version and 'unlocked' the full game up to the current chapter?