The instructions on the getting started guide didn't work for me and I had problems getting it to work.
Try cloning the example as described in the guide, but run npm-install before running npm-run - I think this pulled down some dependency that wasn't already in my environment.
What I did:
git clone https://github.com/gamestdio/colyseus-examples.git
npm run bundle-colyseus-client
Hope that helps,