Using Unity 5.4.0f3 and the SteamVR Plugin v1.1.1 I had issues with adding the SteamVR_Camera to the Main Camera and then clicking Expand.
I did some poking around on the internet and found a suggestion to delete the Main Camera and place the CameraRig from the Prefabs folder into the scene. That seems to have done the setup mostly the same as you describe in this video and is working so far (not sure how things may differ as I continue through this video series).