I couldn’t figure out how to use customization to put it in the header, so I used the widget to put it there. It worked. Then, I deleted an image or two and added an image or two, and tried it again. Nothing. Then, I used shortcode and put it on a new page. Nothing.
The theme doesn’t have built-in support for a slider in the header, but it has built-in support for a slider in its landing page feature.
Your site does not appear to use the landing page at this time so the slider (as configured in the theme options) has nowhere to be displayed.