This slider is based on Revolution Slider plugin. This unfortunately limits it to have an individual type of importing and adding into the page, not possible through the Template Library.
Please follow these steps:
Access Rey Theme > Plugins Manager, locate Revolution slider and click Install. It’ll automatically install and active it.
Open the Rey package you downloaded from ThemeForest and inside it, access exports/revolution-slider/revolution-slider-melbourne.zip . After you located the zip, access your site’s backend and look for Revolution Slider menu, and hit Manual Import option.
Edit and existing page with Elementor or create a new one.
Create a section and inside it add the element Revolution slider, in which you’ll need to select the already imported slider.
To make the slider go under the header, make sure to configure the Header’s position eg: