Hi Jan.
I'm a n00b, but I've found you need to activate Unitylink first .
In your example << is "Get" not "Needs"
EDIT Since writing this I've seen that Get seems to be synonymous with Needs, but even so, try it this way and let us know.
Needs["UnityLink`"]
and then
UnityOpen["ExampleData/roll-a-ball"]
