If you run into broken things and gray squares over the explosion effect just check one URP Asset checkbox.
Open your Universal Render Pipeline Asset and check the Opaque Texture to allow the GrabPass in the Heat shader.
Set your project settings to linear color space. If you haven’t done so go to Edit > Project Settings > Player and select Linear using drop down list:
Read more on Linear or Gamma workflow.
Most of the particle effects provided are set to be looped over time for demo purposes. Before using the actual prefabs make sure to uncheck Looping flag for the current parent and all of the child particle systems if appropriate: