The program provided does not automatically select the Arduino compatible board.
The code works, but you must check which PORT assignment is being used. The sample program from RS is creates a serial data stream for the LED strip that is OUTPUT on the Analog input PORT A0 (Arduino UNO Analog Pin ... sometimes called Analog 1, but on the board is printed A0.
I think that RS had several reasons for choosing this - especially convenience, since the Vin and Gnd pins are just nearby, making the three wire connection to the LED strip very easy.
I don't know how to make it work with the YUN - but you should be able to change the PORT assignment and then it should work.