From what you have shared, it sounds like there is an issue with your python environment. If you are working locally, I would create a new python environment from scratch and re-install sktime. Alternatively, you could create a notebook in Google CoLab (https://colab.research.google.com/) and install sktime there. This should work.
If you are still having issues, I would recommend reaching out to the developer community on Gitter (https://gitter.im/sktime/community). Be sure to include the version of sktime you installed and information about the python environment you are running.