It looks like there wasn’t any database for Local to import and from the replication steps that were outlined, I’m not seeing any mention of exporting the DB.
Since it’s cPanel on the remote environment, you’ll likely need to export the database, download the wp-content folder, and then zip those two items up and finally drag-and-drop the zip onto Local to import it.
The steps outlined in the “Restoring From Only Local Site files” section of this help doc should help visualize what needs to go into the zip: